Multiple Choice
If the volatility of a 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 u for a tree with a three-month time step?
A) 1.05
B) 1.07
C) 1.09
D) 1.11
Correct Answer:
Verified
Correct Answer:
Verified
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