Question: Black-Scholes. a) Write down the Black-Scholes option formula for a European call option. Don't forget to fully describe d1 and d2. b) Derive the Delta

Black-Scholes. a) Write down the Black-Scholes option formula for a European

Black-Scholes. a) Write down the Black-Scholes option formula for a European call option. Don't forget to fully describe d1 and d2. b) Derive the Delta for this option. c) Derive Gamma. d) Using put-call parity, develop an expression for a Black-Scholes put option. Black-Scholes. a) Write down the Black-Scholes option formula for a European call option. Don't forget to fully describe d1 and d2. b) Derive the Delta for this option. c) Derive Gamma. d) Using put-call parity, develop an expression for a Black-Scholes put option

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