Assume the following data on a 6-month call option, using 3-month intervals as the time period. K = $50, S = $48, r = 4.0%, = .27. What is the risk neutral probability of an up move in the stock price?
A)
45.24 %
B)
47.25 %
C)
52.75 %
D)
54.76 %
Answer:
A
Business
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