If the Volatility of a Stock Is 20% Per Annum

question 6

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 p for a tree with a three-month time step?

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