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Consider the one step binomial model and a stock with price S0 = 25. In two months the stock price will be 26 or 24.

Consider the one step binomial model and a stock with price S0 = 25.

In two months the stock price will be 26 or 24. The risk free rate is 1.5

percent.

(5) a. Find the value of a two month call option with strike price K=24.4.

(5) b. Find the value of a two month put option with strike price K=24.4.

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