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A Binomial tree has a branch length of four months (t = 0.3333). If the proportional up movement is u = 1.2269, what is the
A Binomial tree has a branch length of four months (t = 0.3333). If the proportional up movement is u = 1.2269, what is the volatility () of the underlying asset?
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35.42%
Impossible to determine without knowing how may steps in the Binomial tree.
61.35%
59.52%
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