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    Fundamentals of Derivatives Markets
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    Exam 10: Binomial Option Pricing
  5. Question
    For a Specific Futures Option, Given D =
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For a Specific Futures Option, Given D =

Question 3

Question 3

Multiple Choice

For a specific futures option, given d = .813 and u = 1.367, what is the risk neutral probability of an up move in the price of the option?


A) 41.87 %
B) 43.54 %
C) 47.98 %
D) 56.46 %

Correct Answer:

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