Q-31. Solution: C

a = e^(r-q)Δt = e^((2%-2%)×1/12) = 1.0
u = e^(σ√Δt) = e^(15%×√(1/12)) = 1.044, d = 0.958
p = (a - d)/(u - d) = (1.0 - 0.958)/(1.044 - 0.958) = 0.4892;
1 - p = 0.5108