Question
A stock that pays no dividend currently trades for $100. Assume thestock price has an up factor of 1.35 and a down factor of 0.74
A stock that pays no dividend currently trades for $100. Assume thestock price has an up factor of 1.35 and a down factor of 0.74 over the next year, and the risk-free rate is 5.15%. Consider a call option with a strike price of $100 and one year to maturity. The hedge ratio (delta) is closest to:
A). 0.60
B). 0.65
C). 0.57
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Fundamentals of Investing
Authors: Scott B. Smart, Lawrence J. Gitman, Michael D. Joehnk
12th edition
978-0133075403, 133075354, 9780133423938, 133075400, 013342393X, 978-0133075359
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