Assume a stock price of $88; risk-free rate of 4 percent per year, compounded continuously; time to

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Assume a stock price of $88; risk-free rate of 4 percent per year, compounded continuously; time to maturity of five months; standard deviation of 48 percent per year; and a put and call exercise price of $85. What is the delta of the put option?

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Fundamentals of Corporate Finance

ISBN: 978-1260153590

12th edition

Authors: Stephen M. Ross, Randolph W Westerfield, Robert R. Dockson, Bradford D Jordan

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Posted Date: May 29, 2023 04:52 AM

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Assume a stock price of $88; risk-free rate of 4 percent per year, compounded continuously; time to

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Fundamentals of Corporate Finance

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