### Risk-neutral probability

At time 0.5, the price of $1 par of a zero maturing at time 1 will be either $0.96 or $0.98. The risk-neutral probability of the each outcome is 50%. The current price of $1 par of a zero maturing at time 0.5 is 0.97. Time 0 Time 0.5 1 Zero maturing at time 0.5 0.97 0.96 Zero maturing at time 1 ? 1 0.