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Consider a 3-month American call option on a non-dividend-paying stock when the stock price is $100, the strike price is $95, the risk-free interest rate is 8% per annum, and the volatility is 30% per annum. Suppose that we divide the life of the option into three intervals of length 1 month for the purposes of constructing a binomial tree. Determine the price of this call option today using "binomial approach".

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Category:- Financial Management
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