The current stock price is $100. The 2-year 25-delta call option has a strike of $110. N(d2)
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Question:
The current stock price is $100. The 2-year 25-delta call option has a strike of $110. N(d2) for this option is 0.20.
(a) Compute the
(i) Black-Scholes value and
(ii) delta of this call option
(b) Compute the
(i) Black-Scholes value and
(ii) delta of the put option at the same strike and expiry.
(c) Which of the two options (2-year $110-strike call and put) have a higher gamma?
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