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What is the risk-neutral probability

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Suppose S = $100, σ = 30% per annum, r = 2% per annum (continuously compounded), and δ = 3% per annum (continuous). What is the risk-neutral probability that a 1-year European at-the-money call option is NOT in the money as reflected by a 50-step (forward) binomial tree?

Reference no: EM132799670

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