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The volatility of a non-dividend-paying stock whose price is $50, is 30%. The risk-free rate is 5% per annum (continuously compounded) for all maturities. Use
The volatility of a non-dividend-paying stock whose price is $50, is 30%. The risk-free rate is 5% per annum (continuously compounded) for all maturities. Use a two-step tree to calculate the value of a derivative that pays off [max (St 63, 0)]" where is the stock price in six months?
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