Question: Binomial Option Pricing Case 1: A stock is currently priced at $39/share and pays no dividends. The periodic risk-free rate of interest is 2%. The

Binomial Option Pricing Case 1:

A stock is currently priced at $39/share and pays no dividends. The periodic risk-free rate of interest is 2%. The up factor of 1.25 and a down factor of 0.8.

Binomial Option Pricing Case 1: In a two-period binomial tree option pricing model, if after one period, the stock price moved down, what is the new delta value for a delta-neutral portfolio on a written two-period European call with a strike price equal to $35?

A.0.713

B.0.285.

C.1.

D.0.

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