A non dividend paying stock is currently traded at $150 a share. There is a 30% chance it will trade $125 in one year, and a 70% chance it will increase to $175. The risk free rate is 5% per year. This is a one year call with a strike price of $165.
What is the price and delta of the call?
How would I figure this out? Do I use Black-Scholes, if so how do I do this?
