ASM binomial tree - 金融分析師

p.52 3.17

A European option is modeled with a 1-period binomial tree. you are given:

(1)The stock price is 20.

(2)The strike price is 20.

(3)The risk-free rate is 3%.

(4)The continuous dividend rate is 1%.

(5)delta for a 6-month call option is 0.4.

Determine delta for a 6-month European put option with a strike price of 20.

我想請問如何證明the call only pays at the upper node

the put only pays at the lower node

thanks.

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