Question: 1. Consider a 1-period binomial model with ud = 1 and r = 0. Assume that the initial stock price is S. Suppose that you

1. Consider a 1-period binomial model with ud = 1 and r = 0. Assume that the initial stock price is S. Suppose that you know that the price of an at-the-money (i.e. with K = S) call option is C. Find u and the delta of this call option in terms of S and C.

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