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A stock price is currently $48.00. It is known that at the end of six months it will be either $59.50 or $45.50. The risk-free

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A stock price is currently $48.00. It is known that at the end of six months it will be either $59.50 or $45.50. The risk-free rate of interest with continuous compounding is 6.40% per annum. Calculate the value of delta of a 12-month European put option on the stock with an exercise price of $45. Answer with three decimal digits accuracy

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