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A stock price is currently $25.It is known that at the end of two months it will be either $23 or $27.The risk-free interest rate

A stock price is currently $25.It is known that at the end of two months it will be either $23 or $27.The risk-free interest rate is 10% per annum with continuous compounding.Suppose ST is the stock price at the end of two months.The derivative pays offf ST*(ST-S0) at T.

Consider a portfolio consistibg of long delta shares of stock and short 1 unit of derivative.What dekta makes the portfolio risk free?

A) 100

B) 25

C) 1/25

D) 0.5

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