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216

16.If the volatility of a non-dividend-paying stock is 20% per annum and a risk-free rate is 5% per annum, which of the following is closest to the Cox, Ross, Rubinstein parameter p for a tree with a three-month time step?

A.0.50

B.0.54

C.0.58

D.0.62

A.0.50

B.0.54

C.0.58

D.0.62

The formula for p is

=0.538

Flashcard info:

Author: CoboCards-User

Main topic: Finance & Investment

Topic: Derivatives

Published: 27.10.2015