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3. (3 pts) Suppose the current stock price is $50 and you believe that, one year from now, the stock will sell for either $60

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3. (3 pts) Suppose the current stock price is $50 and you believe that, one year from now, the stock will sell for either $60 (up-state) or $30 (down-state). The yield on a 1-year risk- free zero coupon bond is currently 4%. What would be the call option delta (A) with an exercise price of $40

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