What are the deltas of a call option and a put option with the following characteristics? What
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What are the deltas of a call option and a put option with the following characteristics? What does the delta of the option tell you?
Stock price = $87
Exercise price = $85
Risk-free rate = 4.3% per year, compounded continuously
Maturity = 9 months
Standard deviation = 46% per year
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The delta of a call option is Nd 1 so d 1 ln8785 043 46 2 ...View the full answer
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Related Book For 
Fundamentals of Corporate Finance
ISBN: 978-1260153590
12th edition
Authors: Stephen M. Ross, Randolph W Westerfield, Robert R. Dockson, Bradford D Jordan
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