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A binomial tree with one-month time steps is used to value an index option. The interest rate is 3% per annum and the dividend yield

A binomial tree with one-month time steps is used to value an index option. The interest rate is 3% per annum and the dividend yield is 1% per annum. The volatility of the index is 16%. What is the probability of an up movement?

		0.4704
		0.5065
		0.5592
		0.5833

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