Question
A stock price is currently trading at $100. It is known it will be either $110 or $90 after a 6 month period. Risk-Free rate
A stock price is currently trading at $100. It is known it will be either $110 or $90 after a 6 month period. Risk-Free rate is 8% per annum continuous compounding. What is the delta needed to calculate the call option using a delta neutral methodology?
1. 0.75
2. 0.50
3. 0.80
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The Risk Modeling Evaluation Handbook Rethinking Financial Risk Management Methodologies In The Global Capital Markets
Authors: Greg Gregoriou, Christian Hoppe, Carsten Wehn
1st Edition
0071663703, 978-0071663700
