The spot price of copper is $0.60 per pound. Suppose that the futures prices (dollars per pound) are as follows:

3 months...............................0.59

6 months...............................0.57

9 months...............................0.54

12 months..............................0.50

The volatility of the price of copper is 40% per annum and the risk-free rate is 6% per annum. Use a binomial tree to value an American call option on copper with an exercise price of $0.60 and a time to maturity of one year. Divide the life of the option into four 3-month periods for the purposes of constructing the tree.