Question: Given that S= X = $30, r f = 2% per year, and time to expiration is 3 months, find the value of the unknowns

Given that S= X = $30, rf = 2% per year, and time to expiration is 3 months, find the value of the unknowns if Sup, 3 = $36, and Sdown,3 = $28. Use the table below for help. Transact the lowest integer number of shares or options.

Initial transactions

CF0

CF3, mths

Sup,3mths = $36

Sdown,3mths = $28

A

w

B

S =

z

What is the delta hedge ratio using call options?

Group of answer choices

A. 1/4

B. 4/5

C. 3/4

D. 1/2

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