A Call Option on ABCD Stock, with an Exercise Price

question 19

Multiple Choice

A call option on ABCD stock, with an exercise price of $50, will either be worth $12 or worthless. The call option has a delta of 0.3. What is the binomial spread of possible stock prices?

• A)Low of $22 and high of $62
• B)Low of $50 and high of $62
• C)Low of $58 and high of $62
• D)Low of $38 and high of $62

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