Question: MULTIPLE ANSWER QUESTION: Consider comparable European-style Call and Put option on a stock that is currently priced at $47 per share. The strike price is

MULTIPLE ANSWER QUESTION: Consider comparable European-style Call and Put option on a stock that is currently priced at $47 per share. The strike price is $50 for both options and both options have the same time to expiration. Using the Black-Scholes-Merton model, you compute that the d1 term has a value of -0.2676. Based on the above information, select the best answers below for the Delta of this Call and Put Option: (so, you should select two answers below) A. Call Delta: -0.268 B. Call Delta: 0.606 C. Call Delta: 0.394 D. Put Delta: -0.394 E. Put Delta: -1.267 F. Put Delta: -0.606

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