Formula for the delta of the option as function

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Reference no: EM131318037

What is the formula for the delta of the option as a function of (S0, U, D, R, VU, VD)?

• Consider a call option for an asset with the following parameters

• Current spot price is $50 • Option expires in 12 months

• Each month the asset could increase in value by 3% or decrease in value by inverse

• The risk free rate is 25 basis points per month

• S0 = $50, T=12, U=1.03, D=1/1.03, R=1.0025

Reference no: EM131318037

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