A Stock Is Currently Trading at $100 $u = 1.10$ Or Fall by a Factor Of

question 15

Multiple Choice

A stock is currently trading at $100.In each month,the stock will either increase in price by a factor of $u = 1.10$ or fall by a factor of $d = 0.90$ .The risk-free rate of interest per month is 0.1668% in simple terms,i.e. ,an investment of $1 at the risk-free rate returns $1.001668 after one month.What is the delta of a 100-strike,three-month European put option?

• A) \(- 0.4667\)
• B) \(- 0.5000\)
• C) \(- 0.5333\)
• D) \(- 0.5667\)

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