Question: A stock price is currently $ 2 5 . It is known that at the end of two months it will be either $ 2

A stock price is currently $25. It is known that at the end of two months it will be either $23 or $27. The risk-free interest rate is 10% per annum with continuous compounding. Suppose ST is the stock price at the end of two months. The derivative pays off ST*(ST-S0) at T.
Consider a portfolio consisting of long delta shares of stock and short 1 unit of derivative. What delta makes the portfolio risk-free?

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