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Two-State Option Pricing Model Kate is interested in buying a European call option written on EastJet Airlines Ltd., a nondividend paying common stock, with a

Two-State Option Pricing Model Kate is interested in buying a European call option written on EastJet Airlines Ltd., a nondividend paying common stock, with a strike price of $75 and one year until expiration. Currently EastJets stock sells for $78 per share. Kate knows that in one year EastJets stock will be trading at either $93 per share or $65 per share. Kate can borrow and lend at the risk-free equivalent annual rate (EAR) of 2.5 percent.

What is the delta of the option?

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