Multiple Choice
Use the information below to answer the following question. 
Assume a stock price of $88; risk-free rate of 4 percent per year, compounded continuously; time to maturity of five months; standard deviation of 48 percent per year; and a put and call exercise price of $85. What is the delta of the put option?
A) −.6850
B) −.3742
C) −.3158
D) −.0525
E) −.4685
Correct Answer:
Verified
Correct Answer:
Verified
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