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Hi, I was just wondering on how to calculate these values without knowing the strike price? A stock price is currently $10. It is known

Hi, I was just wondering on how to calculate these values without knowing the strike price?

A stock price is currently $10. It is known that at the end of three months it will be either $11 or $8.5. The riskfree interest rate is 5% per annum with continuous compounding. SupposeS_Tis the stock price at the end of three months.

(a)What is the value of a derivative that pays offln(S_T)at this time? Useboth the no arbitrage

and risk neutral valuation approach.

(b)What is the delta of the derivative in part (a)? How do you interpret that number?

Thank you

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