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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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A stock with a (continuous) dividend yield of 1.0% has a current price of $30 and volatility of 22%. We use a two-step binomial model to value a two-year European style call option on the stock; i.e., each time step is one year. The risk-free rate is 3.0%. In the binomial tree, what is the stock price at the node with the lowest stock price?

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