What is the delta of a put option with strike price 45

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Reference no: EM131925009

IBM stock currently sells for 44 dollars per share. Over 5 months the price will either go up by 13.5 percent or down by -6.5 percent.

The risk-free rate of interest is 7.0 percent continuously compounded. What is the delta of a put option with strike price 45 and maturity of 5 months?

Reference no: EM131925009

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