Take the partial derivative of the BlackScholes value of a call option with respect to the underlying

Fantastic news! We've Found the answer you've been seeking!

Question:

Take the partial derivative of the BlackScholes value of a call option with respect to the underlying securitys price, Sp Show that this derivative is positive and equal to N(d,)

Related Book For answer-question

Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

See More Books

Posted Date: Nov 22, 2020 02:02 AM

See More Questions

A put option and a call option with an exercise price of $55 and three months to expiration sell for $2.90 and $6.20, respectively. If the risk-free rate is 4.2 percent per year, compounded...
A put option and a call option with an exercise price of $85 expire in four months and sell for $5.83 and $10.00, respectively. If the stock is currently priced at $88.13, what is the annual...
A put option and a call option with an exercise price of $70 and three months to expiration sell for $1.25 and $5.10, respectively. If the risk-free rate is 4.8 percent per year, compounded...
S1 Ltd and S2 Ltd belong to the same capital gains group. In May 2014, S1 Ltd transferred a chargeable asset to S2 Ltd. This asset had originally cost 10,000 and its market value in May 2014 was...
How many molecules of Fe2(SO4)3 can you make from 777 atoms of S?
Describe an incentive stock option.
As indicated in the text, one often distinguishes between initial failures, random failures during the useful life of the product, and wear-out failures. For a given product, suppose the probability...
This financial information is available for Klinger Corporation. The weighted-average number of shares of common stock outstanding was 180,000 for 2013 and 150,000 for 2014. Instructions Calculate...
Two sole proprietorship businesses converted to partnership. No revaluation of assets and liabilities required. Lourdes and Bernadette individually have been in the catering service business for...
Use INDEX and MATCH functions to fill in a table that extracts the amounts shipped between each pair of cities in the accompanying data, which shows the solution to an optimization model that finds...
Remember, a bar scale shows graphically the ratio of map units to ground units. The top scale shows the comparable ground measurement in kilometers (km) and the bottom bar scale shows the comparable...
An analyst has modeled the stock of a company using a Fama- French three-factor model and has estimated that a i = 0, b i = 0.7, c i = 1.2, and d i = 0.7. Suppose that the daily risk-free rate is...
Consider the situation described in Problem 9.74, but now neither the compressor nor the turbine is ideal. Assume that the isentropic efficiency of the compressor is 0.82 and the isentropic...
Sadik Industries must install $1 million of new machinery in its Texas plant. It can obtain a 6-year bank loan for 100% of the cost at a 14% interest rate with equal payments at the end of each year....
Explain the meaning and significance of a stocks beta coefficient. Illustrate your explanation by drawing, on one graph, the characteristic lines for stocks with low, average, and high risk.
If a firm borrowed $500,000 at a rate of 10% simple interest with monthly interest payments and a 365-day year, what would be the required interest payment for a 30-day month? ($4,109.59) If interest...
Assuming that the lot size is large relative to the sample size, calculate the approximate average outgoing quality (AOQ) for the single sampling plan with n = 10 and c = 0 containing 20% defective...
An annual report of The Campbell Soup Company reported on its income statement $2.4 million as equity in earnings of affiliates. Journalize the entry that Campbell would have made to record this...
A companys CFO says: The accounting treatment of stock options is crazy. We granted 10,000,000 at-the-money stock options to our employees last year when the stock price was $30. We estimated the...
The standard deviation of monthly changes in the spot price of live cattle is (in cents per pound) 1.2. The standard deviation of monthly changes in the futures price of live cattle for the closest...
A trader owns 55,000 units of a particular asset and decides to hedge the value of her position with futures contracts on another related asset. Each futures contract is on 5,000 units. The spot...
Has the U.S. economy experienced inflation or deflation during recent recessions? Explain.
Inflation is soaring and employment is beginning to show sustained improvement. The unemployment rate is 6 percent, compared to its 3.5 percent rate prepandemic. The CPI grew 5.4 percent in June, and...
How do you think recessions influence elections?

Take the partial derivative of the BlackScholes value of a call option with respect to the underlying

Question:

Expert Answer:

BlackScholes is a pricing model used to determine the fair price or theoretical value for a call or ... View the full answer

Fundamentals of Futures and Options Markets

Students also viewed these finance questions