A stock that pays no dividend currently trades for $100. Assume thestock price has an up factor
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Question:
A stock that pays no dividend currently trades for $100. Assume thestock price has an up factor of 1.35 and a down factor of 0.74 over the next year, and the risk-free rate is 5.15%. Consider a call option with a strike price of $100 and one year to maturity. The hedge ratio (delta) is closest to:
A). 0.60
B). 0.65
C). 0.57
Related Book For
Fundamentals of Investing
ISBN: 978-0133075359
12th edition
Authors: Scott B. Smart, Lawrence J. Gitman, Michael D. Joehnk
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