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Suppose that: Market volatility is 20%, The market pays dividends at a continuously compounded rate of 2%, and The yield curve is flat at 2%

Suppose that: Market volatility is 20%,

The market pays dividends at a continuously compounded rate of 2%, and

The yield curve is flat at 2% (continuously compounded rate).

What is the risk-neutral probability of exercising the one-year at-themoney call on the market?

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