: In Example 1.11 we encounter the option delta (for a call), which is computed as the quotient of the spread of possible option prices over the spread of possible share prices Eq.(1.22). Denote this quantity C, and we have seen that it gives the number of shares needed to replicate a call option. Dene analogously P to be the option delta for a put ,and show that for a call and a put European options on the same stock and with the same strike price, P = C1. (Hint: use the put-call parity for European options.) S=K=115,S up=149.5,S down=92, r=0.015