Consider a European call option on a stock where the current stock price is $400, the...
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Consider a European call option on a stock where the current stock price is $400, the strike price is $425, the risk-free interest rate is 11% per annum and the time to maturity is 4 months. The stock price follows a geometric Brownian motion with an expected return 13% per annum and a volatility 30% per annum. (1) The price of the option is (2) The probability that the option will be exercised in a risk-neutral world is (3) The delta of the option is (4) The gamma of the option is (5) The vega of the option is Consider a European call option on a stock where the current stock price is $400, the strike price is $425, the risk-free interest rate is 11% per annum and the time to maturity is 4 months. The stock price follows a geometric Brownian motion with an expected return 13% per annum and a volatility 30% per annum. (1) The price of the option is (2) The probability that the option will be exercised in a risk-neutral world is (3) The delta of the option is (4) The gamma of the option is (5) The vega of the option is
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