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1. (10 points) Consider a 1-period binomial model with ud = 1 and 7 2 0. Assume that the initial stock price is S. Suppose

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1. (10 points) Consider a 1-period binomial model with ud = 1 and 7 2 0. Assume that the initial stock price is S. Suppose that you know that the price of an at-themoney (i.e. With K = S) call option is C. Find u and the delta of this call option in terms of S and C. 5+0 1 C Answer. u,A+

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