Question: Suppose that S0 = $50, d = 0.8, u = 1.25, K = $50, T = 0.25, and the annual riskfree rate is r =

  • Suppose that S0 = $50, d = 0.8, u = 1.25, K = $50, T = 0.25, and the annual riskfree rate is r = 5%. Find the price of the call option and the option delta

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