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The volatility of a stock is 20% and the risk-free rate is 5%, both per annum and with continuous compounding. Which of the following is

The volatility of a stock is 20% and the risk-free rate is 5%, both per annum and with continuous compounding. Which of the following is closest to the Cox, Ross, and Rubinstein estimate of risk-neutral probability p for a binomial tree with a one-week time step?

0.339

0.624

0.417

0.511

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