What does delta represent in this setting

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A stock price is currently $80. It is known that at the end of four months it will be wither $75 or $88. The risk free rate is 6 percent per annum with continuos compounding. What is the value of a four-month European put option with a strike price of $80? Use no-arbitrage arguments.

What is the delta of this option and what does delta represent in this setting?

 

Reference no: EM13265264

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