For an at-the-money-forward (ATMF) call in the Black-Scholes model, how does C change when interest rates

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For an at-the-money-forward (ATMF) call in the Black-Scholes model, how does Δ_C change when interest rates rise?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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For an at-the-money-forward (ATMF) call in the Black-Scholes model, how does C change when interest rates

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The delta of a call is given by Nd where 1 ...View the full answer

Derivatives Principles And Practice

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