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Walts Chemical Supply Co. trades at $112 per share. The volatility of Walts stock price is 75%. The continuous risk-free rate is 6%. If you
Walts Chemical Supply Co. trades at $112 per share. The volatility of Walts stock price is 75%. The continuous risk-free rate is 6%. If you price the option with a binomial model, what is the delta of a 6-month call with a strike price of $120? Assume t = 6 months.
Group of answer choices
0.9704
0.5884
0.3198
0.5653
0.5000
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