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A stock price is currently $40 and it is expected that the stock price will...

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Finance

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A stock price is currently $40 and it is expected that the stock price will either increase by 10% or fall by 10% over the next two months. The risk-free interest rate is 6% per annum with continuous compounding. Consider a two-month call option on the stock with strike $42. The delta corresponding to stock movements over one-step binomial tree is 0.90 0.75 0 -0.75 0.25 -0.25

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