Consider a one-period binomial model with = 1, where = $100, = 0, = 30%, and = 0.08. Compute American call option prices for = $70, $80, $90, and $100. a. At which strike(s) does early exercise...

Consider a one-period binomial model with
= 1, where

= $100,
= 0,

= 30%, and

= 0.08. Compute American call option prices for

= $70, $80, $90, and $100.

a. At which strike(s) does early exercise occur?

b. Use put-call parity to explain why early exercise does not occur at the higher strikes.

c. Use put-call parity to explain why early exercise is sure to occur for all lower strikes than that in your answer to (a).