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A stock's price is currently $30. Over each of the next two six-month periods it is expected to go up by 7% or down by

A stock's price is currently $30. Over each of the next two six-month periods it is expected to go up by 7% or down by 6%. 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.

0.8559

C.

0.6563

D.

0.6266

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