Question: DPG a non dividend paying stock is currently trading for 150 a

DPG, a non-dividend-paying stock, is currently trading for $150 a share. There is a 30-percent chance that the stock will trade for $125 in one year, and a 70-percent chance that the price will increase to $175. The risk-free rate is 5 percent per year. There is a one-year call with a strike price of $165.
a. What is the price of the call?
b. b. What is the delta of the call? Define and calculate.

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  • CreatedFebruary 25, 2015
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