Eastpac Bank has just purchased 629 European call options, on stock with a current share price $38,

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Eastpac Bank has just purchased 629 European call options, on stock with a current share price $38, with a strike price of $42 and a term to expiration of 4 years.

You know from past experience that the volatility of these shares is equal to 8% pa and that these shares have an average yield of 6% pa. Given that the risk free rate is 4% pa, calculate the delta of these options so that you can advise Eastpac Bank as to how they can hedge their portfolio position. Give your answer to 2 decimal places.

You may use the standard normal cumulative distribution function table

What is the combined delta of the options bought?

Posted Date: May 19, 2024 10:15 AM

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Eastpac Bank has just purchased 629 European call options, on stock with a current share price $38,

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