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Consider a two-step binomial tree. What is the delta of the put option if: the futures price is S = 1682.00, the risk-free rate is
Consider a two-step binomial tree. What is the delta of the put option if: the futures price is S = 1682.00, the risk-free rate is r = 2.90%, the strike price is K = 1757.00, the maturity is T = 12 months and the tree parameters are u = 1.1357 and d = 0.8620? (keep 4 decimals in your calculations).
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