An option is valued on a binomial tree with a step size of six months. The risk-free rate with continuous compounding is 12% per annum and the volatility () of the underlying asset is 30% per annum.

A) What is the value of the Cox, Ross, Rubinstein parameters u and d for this tree (round to the nearest hundredth)?

The up parameter (u) is: ;

The down parameter (d) is:

B) What is the value of the Cox, Ross, Rubinstein parameter p (risk-neutral probability of an up move) if the underlying asset is a non-dividend paying stock (answer in % and round to the nearest integer)?

Risk-neutral probability of an up move (p) is: %

C) What is the value of the Cox, Ross, Rubinstein parameter p (risk-neutral probability of an up move) if the underlying asset is a stock index paying a dividend yield of 6% per annum (answer in % and round to the nearest integer)?

Risk-neutral probability of an up move (p) is: %