What happens to the initial option delta

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Let S = $100, K = $95, sigma = 30%, r = 8%, T = 1, and δ= 0. Let u = 1.3, d = 0.8, and n = 2.

Construct the binomial tree for a call option. At each node provide the premium, Delta, and B.

Repeat the option-price calculation in the previous question for stock prices of $80, $90, §110, $120, and $130, keeping everything else fixed.

What happens to the initial option Delta as the stock price increases?

Reference no: EM131970331

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