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Calculate using the risk neutral method

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Crypto, Current share price is $100, in one year the share price will be either $400 or $10, investors can borrow at 20% p.a.

a) What is the option delta?

b) Show how the pay off's on this option could be replicated by buying Crypto's stock and borrowing.

c) What is the probability of the stock price rising in a risk neutral world?

d) What is the value of a 1 month call option with an exercise price of $100? Calculate using the risk neutral method.

Reference no: EM132932960

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