Question: Use a 3 step binomial tree to value a put option. The option expires in 6 months. The interest rate is 10% annually continuously compounded.

Use a 3 step binomial tree to value a put option.

Use a 3 step binomial tree to value a put option. The option expires in 6 months. The interest rate is 10% annually continuously compounded. The spot price is at $100. U= 1.2 and D = 0.8. The strike price of this option is $95. Calculate the delta of this call option? Select one: a. Delta = 0.33 b. Delta = -0.44 C. Delta = 0.51 d. Delta = 0.25 e. Delta = -0.51

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