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A risk-free zero-coupon bond with a face value of USD 1,000 and a maturity of one year is being traded at a price of USD 941. The current risk-free 6-month interest rate is 6%. An analyst uses a simple two-period risk-neutral binomial pricing model that assumes the risk-free 6-month interest rate in 6 months will be either 6.5% or 5.5%. The risk-neutral probability model suggests that:
AThe 6-month risk-free interest rate is equally likely to decrease to 5.5%
BThe 6-month risk-free interest rate is more likely to decrease to 5.5% than to increases to 6.5%.
CThe 6-month risk-free interest rate is less likely to decrease to 5.5% than to increase to 6.5%.
DThere is insufficient information to determine the risk-neutral probabilities.
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