I am looking for a set of parameters (d,u,r,So,K, N=?) for pricing an american call using binomial where the call hits the early exercise possibility.
Do you have any exemplary set?
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Sign up to join this communityI am looking for a set of parameters (d,u,r,So,K, N=?) for pricing an american call using binomial where the call hits the early exercise possibility.
Do you have any exemplary set?
you need a positive dividend rate or a negative interest rate. Without these, it is a model-free result that early exercise is never optimal for a call option.