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Suppose the current stock price is $40 and you believe that, one year from now, the stock will sell for either $60 (up-state) or $35
Suppose the current stock price is $40 and you believe that, one year from now, the stock will sell for either $60 (up-state) or $35 (down-state). The yield on a 1-year risk-free zero coupon bond is currently 3%. If you have a call option with the exercise price of $55, what is the option delta?
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