Consider a two-step binomial tree in which u=1/d, and the risk-neutral probability of an upward move in each step is p. What is the risk-neutral probability that the underlying stock price at the end of the second-period is the same as the initial stock price S0?

a) p*p

b) p*(1-p)

c) (1-p)*(1-p)

d) 2*p*(1-p)