00AS AN EXAMPLE, THE PRICE AT NODE A IS OBTAINED AS FOLLOWS

100.00

As an example, the price at node A is obtained as follows:

Price = min[(prob × (P + (coupon / 2)) + prob × (P + (coupon/2)) / (1 + (rate / 2)), call price] = min[(0.5 × (100 + 2.5) + 0.5 × (100 +

A up down