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

Question 4

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 price of an Arrow security in the state where the stock price moves up?


A) 0.4974
B) 0.4983
C) 0.5000
D) 0.5075

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