If the Volatility of a Non-Dividend-Paying Stock Is 20% Per

Multiple Choice

If the volatility of a non-dividend-paying stock is 20% per annum and a risk-free rate is 5% per annum,which of the following is closest to the Cox,Ross,Rubinstein parameter p for a tree with a three-month time step?

A) 0.50
B) 0.54
C) 0.58
D) 0.62