In a two-period crr model with r 1 per period s0100 u 102

Question

In a two-period CRR model with r =1% per period, S(0)=100, u =1.02, and d =0.98, consider an option that expires after two periods and pays the value of the squared stock price, S²(t), if the stock price S(t) is higher than $100.00 when the option is exercised. Otherwise [when S(t) is less than or equal to 100], the option pays zero. Find the price of the European version of this option.