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If the volatility of a stock is 25% per annum and the risk-free rate is 5% per annum continuously compounded, which of the following is
If the volatility of a stock is 25% per annum and the risk-free rate is 5% per annum continuously compounded, which of the following is closest to the Cox, Ross, Rubinstein parameter for the proportional increase in the stock price, u, for a tree with a 5-month time step? Show your answer to two decimal places.
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