IFoA CM2
IFoA Subject CM2 — Financial Engineering and Loss Reserving
Option PricingEnglish
Exam overviewPractice session
In a one-step binomial model the stock is 100, can move to 120 (up) or 90 (down), and the risk-free gross return over the period is 1.05. The risk-neutral probability of an up-move is:
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