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The volatility of a non-dividend-paying stock whose price is $45, is 5%. The risk-free rate is 6% per annum (continuously compounded) for all maturities. Use

The volatility of a non-dividend-paying stock whose price is $45, is 5%. The risk-free rate is 6% per annum (continuously compounded) for all maturities. Use a two-step tree to calculate the value of a derivative that pays off [max(! 43, 0)]" where ST is the stock price in six months?

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