Given the following components of the Black Scholes equation: S= 110, X=100, r= 1%, t= 0.30, annual

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Given the following components of the Black Scholes equation: S= 110, X=100, r= 1%, t= 0.30, annual volatility = 20%, N(d1) = 0.83 and N(d2) =0.80. How much will your option price move if the underling price changes 1%?

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Finance for Non Financial Managers

ISBN: 978-0176530839

7th edition

Authors: Pierre Bergeron

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Posted Date: May 05, 2023 08:04 AM

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Given the following components of the Black Scholes equation: S= 110, X=100, r= 1%, t= 0.30, annual

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We can use the BlackScholes model to calculate the theoretical price of the option and then use the ... View the full answer

Finance for Non Financial Managers

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