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A stock's price is currently $200. Over each of the next two six-month periods it is expected to go up by 8% or down by

A stock's price is currently $200. Over each of the next two six-month periods it is expected to go up by 8% or down by 8%. The risk-free interest rate is 5% per annum with continuous compounding. What is the risk-neutral probability for an up movement?

A.

0.7532
B.

0.6266
C.

0.8204
D.

0.6582

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