Suppose Jo's stock price is currently $100.In the next three months it will either fall to $70 or rise to $120.What is the option delta of a call option with an exercise price of $100?
A) 0.375
B) 0.60
C) 0.40
D) 0.75

Name: Suppose Jo's stock price is currently $100.In the next three months it will either fall to $70 or rise to $120.What is the option delta of a call option with an exercise price of $100? A) 0.375 B) 0.60 C) 0.40 D) 0.75
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Question

Quizplus · Accepted Answer

Su (pu)+ Sd (pd)= 25 (0.6)+ 10 (0.4)= 19

Suppose Jo's Stock Price Is Currently $100