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YYZ stock sells for $50. The expected annual volatility is 30%. Six month American call options are available with a strike price of $55. The
YYZ stock sells for $50. The expected annual volatility is 30%. Six month American call options are available with a strike price of $55. The risk free rate is 2%, compounded continuously.
Find the risk-adjusted probability that the stock falls each period, assuming that you model stock price movements every three months. Round intermediate steps and your final answer to four decimals.
.5084 | ||
.4916 | ||
.4792 | ||
.5208 |
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