Use the Information for the Question(s) Below

Multiple Choice

Use the information for the question(s) below.
The current price of KD Industries' stock is $20. In the next year the stock price will either go up by 20% or go down by 20%. KD pays no dividends. The one year risk-free rate is 5% and will remain constant.
-The risk-neutral probability of a down state for KD industries is closest to:

A) 37.5%
B) 62.5%
C) 40.0%
D) 60.0%