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Consider a European call option on a non- dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate

Consider a European call option on a non- dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 8.0% per annum, the volatility is 20% per annum, and the time to maturity is six months. Calculate the value of the risk-neutral probability, p. Enter your answers rounded to four decimal places.

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