medium · FRM Part 1 Valuation and Risk Models

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?

1. Only when the underlying stock price S falls all the way to exactly zero.
2. When the risk-free interest rate r is set equal to zero in the model.
3. When the option is exactly at the money, meaning S equals K.
4. In regions of the tree where early exercise is determined to be optimal.

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