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b. A one-year American call is modelled by a four-period binomial tree using the following parameters: Continuously compounded risk-free rate is 5%. Dividend is o.

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b. A one-year American call is modelled by a four-period binomial tree using the following parameters: Continuously compounded risk-free rate is 5%. Dividend is o. Annual volatility is 12% Current stock price is 68. Strike price is 70. Calculate the value of the call option. (8 marks)

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