Your boss asks you to analyze options for the S&P 500. Based on your analysis you believe the S&P 500 offers a dividend yield of 1.90% over the next year, has implied volatility of 18% per annum, and the current risk-free rate is 1.65% (all on a continuously compounded basis). The current spot price of the S&P 500 is 2,250.

Using a one-period binomial tree method, what is the p value (risk-neutral probability) you would assign to the "up" state outcome in 3-months?

Group of answer choices

p 0.90

0.90 < p 0.95

0.95 < p 1.00

1.00 < p 1.05

1.05 < p