Suppose that today’s price of ABC stock is $100 and it is known that price can move up by 15% or can move down by 10% in 3-months. A riskless portfolio is comprising of delta stocks of ABC and a 3-months PUT option on ABC stock with a strike price of $105. If the 3-months risk-free rate is 10%, Complete the table below: Your answer shouldn’t be more than two decimal places.

Nodes	A	B	C
Stock price
Option Price
Delta

Answer rating: 100% (QA)

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