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In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a

In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. The risk neutral probability for an up move is:

A. 0.5290

B. 0.5292

C. 0.5286

D. 0.5288

Answer: D

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