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A binomial interest-rate tree indicates a 6-month period spot rate of 3.5 percent (in annual terms). The price of the zero-coupon bond in six months if rates decline is 97.25 and if rates increase the bond price is 95.875. If the bond’s market price is 94.5, the risk-neutral probabilities with an decrease and increase in rates, respectively, are closest to:
A. 0.1/0.9.
B. 0.9/0.1.
C. 0.2/0.8.
D. 0.8/0.2.