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ABC stock is currently at 100. In the next period, the price will either increase by 10% or decrease by 10%. The risk-free rate of

ABC stock is currently at 100. In the next period, the price will either increase by 10% or decrease by 10%. The risk-free rate of return per period is 2%. What is the delta of 95-strike put option?

a. 0.75

b. + 0.50

c. 0.25

d. + 0.25

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