Question: Help! Please show work!! Answer is D, but I'm struggling to come up with the work!! Thank you!! Q15 (4 pts) A share of Tesla

Help! Please show work!! Answer is D, but I'm struggling to come up with the work!! Thank you!!

Help! Please show work!! Answer is D, but I'm struggling to come

Q15 (4 pts) A share of Tesla is currently trading at $1,000. Suppose the stock price will either go up 10% or down 10%, with equal likelihood, in each of the next two years. Consider a call option that is currently at-the-money and expires in two year. Assume that the risk-free rate is 0%. Using a binomial tree, what will the call option's hedge ratio be a year from now if the stock price is up? A. 0.00 B. 0.10 C. 0.50 D. 0.95 E. 1.00

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