Question: Based on the binomial option pricing model an increase in interest rate alone (i.e, with no change in current or future stock price) will lead

Based on the binomial option pricing model an increase in interest rate alone (i.e, with no change in current or future stock price) will lead to:

a) Higher risk neutral probability

b) Lower risk neutral probability

c) No effect on risk-neutral probability

d) Some effect on risk-neutral probability that depends on the specific parameters of the options

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