Question

Suppose that todays price of abc stock is $97 and it is known that price move up or down by 15% in 3 month. a riskless portfoio is comprising of delta stocks of abc company, a hypothetical company and a 3 months put option on abc stock with a strike price of $105. if the 3months risk free rate 10%.what will be value of the delta node a?

Answer 1

Answer:

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