The following questions are based on option pricing on the one-time step binomial tree world. Suppose a stock S = $100 at time 0. At time 1, the stock can be either to $150 or down to $75. Risk-free rate is 0. (2 points each)

Question 17 (2 points)

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What is the delta of at-the-money call option (That is, call with strike price $100)?

Question 17 options:

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