Options Quiz 2 Q3 PRM

ameyakukde
Good Student
Posts: 29
Joined: Thu Aug 02, 2012 11:55 am

Options Quiz 2 Q3 PRM

Postby ameyakukde » Sat Mar 16, 2013 5:59 am

Suppose current price of the stock is $20. What is the delta of the call option on the stock with strike price $20 if the price of the stock moves up to $22 with probability 60% and moves down to $18 with probability 40%?

How to solve this using "delta= (V(+) - V(-))/ (u-v)*S" formula?

I am getting a wrong answer by solving via this method. Kindly solve the same using this formula mentioned in the handbook.

content.pristine
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Joined: Wed Apr 11, 2012 11:26 am

Options Quiz 2 Q3 PRM

Postby content.pristine » Mon Mar 25, 2013 11:25 am

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