In a binomial interest rate tree model, assume that the six-month rate process starts on date 0 (t=0) at 5% and then increases or decreases by 100 basis points every six months. On date 0, the prices of a six-month zero and a 1-year zero are 97.5610 and 95.0908 respectively. Find the risk-neutral probability of an up move on date 0 for the six-month rate process. (Round to 2 decimal places.)数值题

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