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

question 1

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

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