Consider a binomial tree setting in which in each period the price goes up by $u = 1.10$ (with probability $p = 0.60$ )or down by $d = 0.90$ (with probability $1 - p = 0.40$ ).The risk-free interest rate per time step is zero,so a dollar invested at the beginning of the period returns a dollar at the end of the period. In this setting,the risk-neutral probability of a two-period call with strike $K = 95$ finishing in-the-money is
A)0.25
B)0.36.
C)0.75
D)0.84

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The Answer of Consider a binomial tree setting in which in each period the price goes up by $u = 1.10$ (with probability $p = 0.60$ )or down by $d = 0.90$ (with probability $1 - p = 0.40$ ).The risk-free interest rate per time step is zero,so a dollar invested at the beginning of the period returns a dollar at the end of the period. In this setting,the risk-neutral probability of a two-period call with strike $K = 95$ finishing in-the-money is
A)0.25
B)0.36.
C)0.75
D)0.84

Consider a Binomial Tree Setting in Which in Each Period u=1.10u = 1.10u=1.10

Consider a Binomial Tree Setting in Which in Each Period $u = 1.10$