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A stock price is currently $15. It is known that in three months it will go up by 15% or down by 12%. The risk-free
A stock price is currently $15. It is known that in three months it will go up by 15% or down by 12%. The risk-free interest rate is 10% per annum with continuous compounding. What is p (the risk-neutral probability of an up movement)?
A. | 0.5382 | |
B. | 0.7682 | |
C. | 0.8092 | |
D. | 0.3530 |
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