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

question 6

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 an investment of a dollar at the risk-free rate returns $1.001668 after one month,what is the standard deviation of monthly stock return under the risk-neutral probabilities?

• A)9.93%
• B)9.97%
• C)10.00%
• D)20.00%

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