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Suppose a = 0.1 and = 0.02 and the term structure is flat at 5%. Construct a trinomial tree for the HullWhite model. Consider two

Suppose a = 0.1 and = 0.02 and the term structure is flat at 5%. Construct a trinomial tree for the HullWhite model. Consider two time steps, each one year in length. Your answers need to be fully justified. Feel free to look up the relevant formulae in your notes.

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