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Consider a European call option on a nondividendpaying stock where the stock price is $40, the strike price is $40, the riskfree rate is 4% per annum
Consider a European call option on a nondividendpaying stock where the stock price is $40, the strike price is $40, the riskfree rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is six months.
 Calculate , , and for a two step tree
 Value the option using a two step tree.
 Verify that DerivaGem gives the same answer
Use DerivaGem to value the option with 5, 50, 100, and 500 time steps.
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