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

question 29

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) \(- 0.5667\)