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Assume a stock is trade at $100, the volatility of the stock is 26%, and...

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Finance

Assume a stock is trade at $100, the volatility of the stock is 26%, and the risk-free interest rate is 3.5%. For a $97 strike call option expiring in 90 days, what is the risk-neutral probability when using a two-step binomial tree to price the option? Please answer to 3 decimal places.

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