NO.PZ2023091802000132
问题如下：
Common text for questions following two questions:
A risk manager for Bank XYZ, Mark is
considering writing a 6 month American put option on a non-dividend paying
stock ABC. The current stock price is USD 50 and the strike price of the option
is USD 52. In order to find the no-arbitrage price of the option Mark uses a
two-step binomial tree model. The stock price can go up or down by 20% each
period. Mark’s view is that the stock price has an 80% probability of going up
each period and a 20% probability of going down. The annual risk-free rate is
12% with continuous compounding.
What is the risk-neutral probability of the stock price going up in a single step?
选项：
A.34.5%
B.57.6%
C.65.5%
80.0%
解释：
如题
