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Consider a 6-month European call option. The current share price is $40, the strike price is $40, the volatility is 10% per year, and the

Consider a 6-month European call option. The current share price is $40, the strike price is $40, the volatility is 10% per year, and the risk-free interest rate (continuously compounding) is 3% per year. Construct appropriate 2-step binominal trees and estimate the relevant risks (Greeks) of this option, including delta, theta, gamma, vega and rho. Show all your works

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