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Assume the Following Data on a 6-Month Call Option, Using

Question 20

Multiple Choice

Assume the following data on a 6-month call option, using 3-month intervals as the time period. K = $50, S = $48, r = 4.0%, = .27. What is the risk neutral probability of an up move in the stock price?


A) 45.24 %
B) 47.25 %
C) 52.75 %
D) 54.76 %

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