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You have built the following interest rate tree for the next 2 years: Time 0 ( % ) Time 1 ( % ) i 2

You have built the following interest rate tree for the next 2 years:
Time 0(%) Time 1(%)
i2h =3.97
i1=2.97
i2l =1.01
What is the value of the embedded call option in a default-free 4.67%2-year bond which is callable at par in 1 year, based on this information?

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