A call option on a non-dividend-paying stock has a strike price of $100 and a time to

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A call option on a non-dividend-paying stock has a strike price of $100 and a time to maturity of 1 year. The risk-free rate is 0% and the volatility is 20%. The stock price is $100.

What number is closest to the delta of the option?

Related Book For answer-question

Introduction to Management Science A Modeling and Cases Studies Approach with Spreadsheets

ISBN: 978-0078024061

5th edition

Authors: Frederick S. Hillier, Mark S. Hillier

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Posted Date: Jun 27, 2023 04:25 AM

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A call option on a non-dividend-paying stock has a strike price of $100 and a time to

Question:

Expert Answer:

To calculate the delta of the option we can use the BlackScholes option pricing model The delta of a ... View the full answer

Introduction to Management Science A Modeling and Cases Studies Approach with Spreadsheets

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