Let = $100 , = $95, = 8% (continuously compounded), = 30%, = 0, = 1 year, and = 3. a. Verify that the binomial option price for an American call option is $18.283. Verify that there is never...

Let
= $100

,

= $95,

= 8% (continuously compounded),

= 30%,

= 0,

= 1 year, and

= 3.

a. Verify that the binomial option price for an American call option is $18.283. Verify that there is never early exercise; hence, a European call would have the same price.

b. Show that the binomial option price for a European put option is $5.979. Verify that put-call parity is satisfied.

c. Verify that the price of an American put is $6.678.