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In a Cox-Ross-Rubinstein Binomial Tree, the Formula for the Proportional u=erΔtu = e ^ { r \Delta t }

Question 1

Multiple Choice

In a Cox-Ross-Rubinstein binomial tree, the formula for the proportional up-movement, u, is: choose one)


A) u=erΔtu = e ^ { r \Delta t }
B) U=erΔt\mathcal { U } = e ^ { r - \sqrt { \Delta t } }
C) u=eσΔtu = e ^ { \sigma \Delta t }
D) U=eσΔt\mathcal { U } = e ^ { \sigma \sqrt { \Delta t } }

Correct Answer:

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