Consider a Stock Index Currently Trading at 128 $u = 1.08$

Multiple Choice

Consider a stock index currently trading at 128.You have modeled the evolution of this index in a binomial tree and have come up with the following parameters: $u = 1.08$ , $d = 0.93$ .The gross risk-free rate per step of the binomial tree is $R = 1.03$ and the dividend yield on the index is $\delta = 0.01$ .The risk-neutral probability of an up-move in this setting is

A) 0.598
B) 0.660
C) 0.667
D) 0.736