A stock is currently trading at USD 45, and its annual price volatility is 30%. The risktree rate is 1.5% per year. A risk manager is developing a 1-step binomial tree for a 2-year horizon. What is the risk-neutral probability that the stock will move down?
A stock is currently trading at USD 45, and its annual price volatility is 30%. The risktree rate is 1.5% per year. A risk manager is developing a 1-step binomial tree for a 2-year horizon. What is the risk-neutral probability that the stock will move down? A.30%; B.43%; C.57%; D.70%