Find options delta as of december 2016

Reference no: EM133432297

Question: CEO of Company X has 30 million shares of stocks and 30 million shares of options (of Company X). The stock return volatility () is 0.50, dividend yield (d) is 0.0, riskfree rate (r) is 0.05, and maturity (T) is 5 years. Following table shows stock price of Company X during 2016. Date Jan. Feb. Mar. Apr. May. Jun. Jul. Aug. Sep. Oct. Nov. Dec. Price $15.2 $10.0 $22.7 $25.5 $20.0 $23.0 $18.8 $18.6 $15.5 $18.3 $20.0 $20.4 Suppose that options were granted at-the-money on February 2016.

2-1. Find option's delta (change in one share of option due to $1 increase in stock price) as of December 2016?

2. Find increase in CEO wealth for $1 increase in Company X's stock price as of December 2016?

Reference no: EM133432297

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