ABC stock is currently trading at 100. In the next period, the price will either go up by 10% or down by 10%. The risk-free rate of interest over the period is 5%. What is the delta for the put option on ABC for a strike 100? +0.67 -0.5 +0.5

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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ABC stock is currently trading at 100. In the next period, the price will either go up by
10% or down by 10%. The risk-free rate of interest over the period is 5%.
What is the delta for the put option on ABC for a strike 100?
O +0.67
O-0.5
O +0.5
O -0.33
O None of these
Transcribed Image Text:ABC stock is currently trading at 100. In the next period, the price will either go up by 10% or down by 10%. The risk-free rate of interest over the period is 5%. What is the delta for the put option on ABC for a strike 100? O +0.67 O-0.5 O +0.5 O -0.33 O None of these
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