Problem:
The stock price of Heavy Metal (HM) changes only once a month: either it goes up by 23% or it falls by 19%. Its price now is $45. The interest rate is 13% per year, or about 1.08% per month.
Requirement:
Question 1: What is the value of a one-month call option with an exercise price of $45?
Question 2: What is the option delta?
Note: Please explain comprehensively and give step by step solution.