Use a three-step binomial tree to calculate the value of a, Financial Management

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Use a three-step binomial tree to calculate the value of a

A futures price is currently $65 and its volatility is 10%. The risk-free interest rate is 8% per annum on a continuously compounded basis.

a. Use a three-step binomial tree to calculate the value of a nine-month European call option on the futures with a strike price of $60?

b. Use the same tree to calculate the value of the option if it is American, and show where early exercise is optimal if it is optimal to exercise the option early?

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