Question: Assume a one-period binomial model, S=100, u =1.10, d =.90, the interest rate and the dividend yield are zero. The hedge ratio of an option

Assume a one-period binomial model, S=100, u =1.10, d =.90, the interest rate and the dividend yield are zero. The hedge ratio of an option with K = 110 is

a. zero

b. +1.0

c. -1.0

d. +0.5

e. a. or c.

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