PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition 8007 Question # 23 Topic 3 Discussion

PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition 8007 Question # 23 Topic 3 Discussion

8007 Exam Topic 3 Question 23 Discussion:
Question #: 23
Topic #: 3

In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. The risk neutral probability for an up move is:


A.

0.5290


B.

0.5292


C.

0.5286


D.

0.5288


Get Premium 8007 Questions

Contribute your Thoughts:


Chosen Answer:
This is a voting comment (?). It is better to Upvote an existing comment if you don't have anything to add.