In the Jarrow-Rudd (JR)binomial Model,the Volatility Is Given As $\sigma = 0.2$

Multiple Choice

In the Jarrow-Rudd (JR) binomial model,the volatility is given as $\sigma = 0.2$ .The risk-free rate of interest is 2%.What is the risk-neutral probability of an up move on a binomial tree with a time step of one month?

A) 0.45
B) 0.50
C) 0.55
D) 0.60