If the Volatility of a Non-Dividend-Paying Stock Is 20% Per

question 18

Multiple Choice

If the volatility of a non-dividend-paying 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

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