Question: Let S = $50, K = $40, r = 7% (continuously compounded), T = 1, and d = 0. Let u = 1.15, d =

Let S = $50, K = $40, r = 7% (continuously compounded), T = 1, and d = 0. Let u = 1.15, d = 0.75, and n = 1. What are D and B for a European call?

Correct Answer = D (delta) = 0.8750; B = 30.5942

Please answer without excel

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