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Calculate the proportion up movement

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Reference no: EM132999955

The volatility (sigma) of a stock is 50% per annum. We will model stock-price movements using a Binomial tree, where each branch of the tree has a step length (delta t) of 4 months.

Calculate the proportion up movement (u) that applies to each branch of the tree.

Your answer should have at least two decimal places.

Reference no: EM132999955

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