Assume that a stock trading for $100 today will be worth either $110 or $90 in...
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Assume that a stock trading for $100 today will be worth either $110 or $90 in one month. A risk-free asset offers a 1% return over that time period. What is the hedge ratio (or delta) of a one month call option with a strike price of $105? What is the price today of this call option? Assume that a stock trading for $100 today will be worth either $110 or $90 in one month. A risk-free asset offers a 1% return over that time period. What is the hedge ratio (or delta) of a one month call option with a strike price of $105? What is the price today of this call option?
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