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Take N = 2 and let S ( 0 ) = 1 0 0 , Up Move Rate, U = 3 5 % , down

Take N=2 and let S(0)=100, Up Move Rate, U=35%, down move rate, D=-15%, Discount rate, R=5%. Consider an American call with exercise price K=100. Determine the current value of the American call price process C(0)(6 Marks)
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