ABC stock is currently trading at 100. In the next period, the price will either go up by 10% or down by 10%. The risk-free rate of interest over the period is 5%. What is the delta for the put option on ABC for a strike 100? +0.67 -0.5 +0.5

ABC stock is currently trading at 100. In the next period, the price will either go up by 10% or down by 10%. The risk-free rate of interest over the period is 5%. What is the delta for the put option on ABC for a strike 100? +0.67 -0.5 +0.5

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter8: Basic Stock Valuation

Section: Chapter Questions

Problem 8P: A stock is trading at $80 per share. The stock is expected to have a yearend dividend of $4 per...

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Question

ABC stock is currently trading at 100. In the next period, the price will either go up by
10% or down by 10%. The risk-free rate of interest over the period is 5%.
What is the delta for the put option on ABC for a strike 100?
O +0.67
O-0.5
O +0.5
O -0.33
O None of these

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