As a financial analyst at Bank of America Merrill Lynch, you are collecting and analyzing data to

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Question:

As a financial analyst at Bank of America Merrill Lynch, you are collecting and analyzing data to find the value for a six month European call option and put option on BAC stock. The stock price is currently $50. The strike price is $50. It is known that at the end of six months it will be either $55 or $45. The risk-free interest rate is 12% per year

What is the call option delta? What is the put option delta?

What is the probability of an up movement in a risk-neutral world? What is the value of the call option on the stock?

What is the value of the put option on the stock?