uctured Financial instruments Consider a binomial tree setting in which in each period the price goes up by u = 1.10 (with probability p=0.60) or down by d = 0.90 (with probability 1-p=0.4). The risk-free interest rate per time step is zero, so a dollar invested at the beginning of the period returns a dollar at the end of the period. In this setting, the risk-neutral probability of a two-period call with strike K = 95 (current price = 100) finishing in-the-money is Select one: O a. 0.75 b. 0.84 C. 0.25 d. 0.36 Next