Exam4Training

In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying.

In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying.

The risk neutral probability for an up move is:
A . 0.5290
B . 0.5292
C . 0.5286
D . 0.5288

Answer: D

Latest 8007 Dumps Valid Version with 132 Q&As

Latest And Valid Q&A | Instant Download | Once Fail, Full Refund

Exit mobile version