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QUESTION

Calculate the price of a six-month American call option on gold futures when the current futures price is $260 per troy ounce, the strike price is

Calculate the price of a six-month American call option on gold futures when the current futures price is $260 per troy ounce, the strike price is $270, the risk-free     rate is 8 percent per annum, and the volatility is 30 percent per annum. Using the binomial tree approach with  a time interval of three months.  Use the tree diagrams  to show your calculation results on each node. 

(i) p =                              (ii) u =                           (iii) d =

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