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IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent.

IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a put option with strike price 51 and maturity 12 months?

Group of answer choices

A. -0.59901

B. 0.59901

C. 0.40099

D. -0.40099

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