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Buffelhead's stock price is $216 and could halve or double in each six-month period. A one-year call option on Buffelhead has an exercise price of
Buffelhead's stock price is $216 and could halve or double in each six-month period. A one-year call option on Buffelhead has an exercise price of $163. The interest rate is 21% a year.
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b-1. Now calculate the option delta for the second six months if the stock price rises to $432.
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b-2. Now calculate the option delta for the second six months if the stock price falls to $108. (Round your answer to 2 decimal places.)
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