Evaluate the american call price and delta

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Write your own binomial American exercise program. Then evaluate the American call price and delta to 2 decimal places for a stock with S=50, annual r = 8% (continuous compounding), annual dividend yield = 10% (continuous), time to expiration 1 year, strike 51, volatility 10%, 100 periods in the tree. Compare the result with the Black-Scholes value for a similar European call. Show the ?rst ten periods (eleven levels) of the stock tree and the option tree.

Reference no: EM133112918

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