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A nine-month American call option on corn futures has an exercise price of 395 cents. The current futures price is 375 cents, the risk-free interest

A nine-month American call option on corn futures has an exercise price of 395 cents. The current futures price is 375 cents, the risk-free interest rate is 6% per annum and the volatility is 35% per annum.

(i) Use a two-time-step tree to calculate the option price

(ii) Estimate the delta of the option at the first time-step from the constructed binomial tree

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