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I. The volatility of a non-dividend-paying stock whose price is $80, is 35%. The risk-free rate is 2% per annum (continuously compounded) for all maturities.

I. The volatility of a non-dividend-paying stock whose price is $80, is 35%. The risk-free rate is 2% per annum (continuously compounded) for all maturities.

  1. Calculate values for u, d, and p when a 2-month time step is used.

Please answer without Excel if possible. Thank you :)

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