Question: Let S = $33, s = 41%, r = 4%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $35-strike European

Let S = $33, s = 41%, r = 4%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $35-strike European put option with 3 months until expiration.

ANSWER:

0.5625

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