What are the deltas of a call option and a put option with the following characteristics? What
Question:
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 = $59
Exercise price = $55
Risk-free rate = 5% per year, compounded continuously
Maturity = 9 months
Standard deviation = 43% per year
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The delta of a call option is Nd1 so d 1 ln5955 05 43 2 2 91...View the full answer
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Related Book For
Corporate Finance Core Principles and Applications
ISBN: 978-1259289903
5th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan
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