Find the delta of the put

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Reference no: EM131176549

Assume XYZ stock is currently at S = $100. After one period, the price will move to one of the following two values: [uS and dS], where [u = 1.2; d = 0.9]. A $1.00 investment in the risk-free asset using continuous compounding will return $1.10 at the end of the period.

(a) Find the risk-neutral probabilities governing the movement of the stock price.

(b) For a strike price of 100 for call, find the delta of the call.

(d) Explain the difference between the call delta and the put delta with the answer you get

Reference no: EM131176549

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