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

question 25

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 expected gross return of a 100-strike one-month call option under the risk-neutral probabilities?

• A) 1.0010
• B) 1.0017
• C) 1.0100
• D) 1.0167

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Definitions:

Bilateral Hyperacusis

A condition characterized by an increased sensitivity to normal environmental sounds in both ears.

Perceptive Hearing Loss

A type of hearing loss resulting from damage to the inner ear or the neural pathways from the inner ear to the brain, also known as sensorineural hearing loss.

Bilateral

Pertaining to or affecting both sides of the body.

Measurement Unit

Standard quantities used to specify measurements.