In a One-Period Binomial Model,assume That the Current Stock Price $- 0.50$

question 25

Multiple Choice

In a one-period binomial model,assume that the current stock price is $100,and that it will rise to $110 or fall to $90 after one month.What is the delta of a 99-strike one-month put option?

• A) \(- 0.50\)
• B) \(- 0.45\)
• C) \(+ 0.45\)
• D) \(+ 0.50\)

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