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

question 13

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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Definitions:

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