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For the binomial option pricing model, suppose the continuously compounded annual interest rate is 6%; the annual standard deviation of stock returns is 0.40; and
For the binomial option pricing model, suppose the continuously compounded annual interest rate is 6%; the annual standard deviation of stock returns is 0.40; and the time-to-maturity is year. If the number of periods is 4, what is the probability p of an up-step in the stock price in one period?
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