In the case of a 1 year option, the current stock price is $52 per share. If the stock price has an equal chance of ending the year at either $58 or $45, what is the ? given an interest rate of 6.0% and an exercise price of $50?
(a) 0.2145
(b) 0.3254
(c) 0.5411
(d) 0.6154
Answer: d
Fin 402
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