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The current price of a non-dividend paying stock is $32. Use a two-step tree to value a European call option on the stock with a
The current price of a non-dividend paying stock is $32. Use a two-step tree to value a European call option on the stock with a strike price of $37.14 that expires in 6 months. The risk free rate is 9.8% per annum with continuous compounding. What is the option price when u = 1.36 and d = 1/u?
Please show the formula and steps, thanks!
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