Question: Let S = $85, K = $80, r = 6% (continuously compounded), d = 2%, s = 40%,T = 2, and n = 4. In

Let S = $85, K = $80, r = 6% (continuously compounded), d = 2%, s = 40%,T = 2, and n = 4. In this situation, the appropriate values of u and d are1.35370 and 0.76886, respectively. What is the value of p*, the risk-neutralprobability of an upward movement in the stock price at any node of thebinomial tree?

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