Question: Consider a two-period binomial tree model with the following information of the stocks: stock price = $50, up factor = 1.238, down factor = 0.795,

Consider a two-period binomial tree model with the following information of the stocks: stock price = $50, up factor = 1.238, down factor = 0.795, risk-free rate = 0.05. If a call option has a strike price of $60, then what is the probability of the call expiring out of the money based on the risk-neutral probability?

33.13%

40.98%

24.43%

66.87%

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