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WILL LEAVE THUMBS UP ASAP A stock price is currently $49.25. It is known that at the end of the six months it will be

WILL LEAVE THUMBS UP ASAP

A stock price is currently $49.25. It is known that at the end of the six months it will be either $59 or $45.50. The risk-free rate of interest with continuous compounding is 6.25% per annum. Calculate the value of delta of a 12-month European put option on the stock with an exercise price of $42.

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