What is the value of a six month european call option on


A futures price is currently 60. It is known that over each of the next two three month periods it will either rise by 10% or fall by 10%. The risk free interest rate is 8% per annum. What is the value of a six month European call option on the futures with a strike price of 60? If the call were American would it ever be worth excerising it early?

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