hard · FRM Part 1
For an American put option on a non-dividend stock, when is the Delta (Δ) calculated from a binomial tree exactly equal to -1.0?
- Only when the stock price S reaches exactly zero.
- When the risk-free rate r is zero.
- When the option is exactly at the money (S = K).
- In regions of the tree where early exercise is determined to be optimal.
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