PRMIA Exam 8007 Topic 1 Question 64 Discussion

Actual exam question for PRMIA's 8007 exam

Question #: 64
Topic #: 1

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:

A0.5290

B0.5292

C0.5286

D0.5288

Show Suggested Answer

Suggested Answer: D

by Glenn at Dec 23, 2023, 12:13 AM

Limited Time Offer

25%

Off

Get Premium 8007 Questions as Interactive Web-Based Practice Test or PDF

Contribute your Thoughts:

Submit Cancel

Currently there are no comments in this discussion, be the first to comment!