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Suppose you set up a spreadsheet with 10 periods. You wish to value an option with a one-year expiration. The stock's annual standard deviation is

Suppose you set up a spreadsheet with 10 periods. You wish to value an option with a one-year expiration. The stock's annual standard deviation is 30%, the risk-free rate is r = 4% and the dividend yield on the stock is 1%. Using the calibration solution used in class, what would be the value for u?


What would be the value of d?


What would be the value of p?

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