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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. What is the value a 4-month European call option with a strike price of $82 given by a two-step binomial tree?

Please answer without using Excel if possible. Thank you :)

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