In this case, $\Delta t$ is 1 month, so $\Delta t = \frac{1}{12}$ years. Plugging in the values, we get:
$u = e^{0.25 \sqrt{\frac{1}{12}}} \approx 1.0202$
The down factor, $d$, is calculated as $e^{-\sigma \sqrt{\Delta t}}$. Plugging in the values, we get:
$d =
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