A European call option on a non-dividend paying stock has an exercise price of $20 and six months to expiration. The current price of the stock is $20 . The stock price is expected to rise or fall by 25% during each three-month period. The stock is equally likely to go up or down in each three-month period. The risk-free rate is 6% p.a. (c.c.). What is the risk-neutral probability of two successive upticks?

Note: If your answer is 0.25623, please put in 0.26 (2 decimal places).

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