Question
Suppose that todays price of ABC stock is $100 and it is known that price can move up by 15% or can move down by
Suppose that today’s price of ABC stock is $100 and it is known that price can move up by 15% or can move down by 10% in 3-months. A riskless portfolio is comprising of delta stocks of ABC and a 3-months PUT option on ABC stock with a strike price of $105. If the 3-months risk-free rate is 10%, Complete the table below: Your answer shouldn’t be more than two decimal places.
| Nodes | A | B | C |
| Stock price | |||
| Option Price | |||
| Delta |
Step by Step Solution
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
