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Suppose that a stock sells for $42 today. One period from today, the stock price will either have risen to $50.40 or have fallen to
Suppose that a stock sells for $42 today. One period from today, the stock price will either have risen to $50.40 or have fallen to $37.80. A European call option with exercise price $44 is available and expires at the end of the period. What is the riskless hedge ratio or option delta for this period?
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0.411
0.488
0.528
0.508
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