In a One-Period Binomial Model,assume That the Current Stock Price

question 23

Multiple Choice

In a one-period binomial model,assume that the current stock price is $100,and that it will rise to $110 or fall to $90 after one month.If the risk-neutral probability of the stock going up or down is equal,what is the one-month risk-free interest rate in continuously-compounded and annualized terms?

• A)0%
• B)1%
• C)2%
• D)3%

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