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Suppose a stock that pays no dividends is trading at 50, and has a volatility of 60%. The risk-free rate is 6% (continuously compounded). You

  1. Suppose a stock that pays no dividends is trading at 50, and has a volatility of 60%. The risk-free rate is 6% (continuously compounded). You own a three-month, at-the- money put on the stock. The current risk-neutral probability that you will excise your put at maturity is closest to:

    a.

    46.0%
    b.

    57.9%
    c.

    50.0%
    d.

    54.0%

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