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Table 2. (All rates are continuously compounded and for 6 months) period i 0 1 2 time ( in years) t 0 0.5 r0 r1

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Table 2. (All rates are continuously compounded and for 6 months) period i 0 1 2 time ( in years) t 0 0.5 r0 r1 ,u p* 4.00% 6.00% 0.5 r1 ,d 3.00% 0.5

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