The volatility of a non-dividend-paying stock whose price is $40, is 35%. The risk-free rate is...

The volatility of a non-dividend-paying stock whose price is $40, is 35%. 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(St − 52, 0)]" where St is the stock price in six months?

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