With reference to Black-Scholes formula for the price C of a European call option with strik-...

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With reference to Black-Scholes formula for the price C of a European call option with strik- K and maturity T, show that (a) Se--Ke- r = 0). = 0, where S = S(0) (you may assume that the risk-free interest rate I (b) Use the result of the preceding part of the question to show that = (x1) (i.e. that the delta of the call option is equal to Þ(21)). 85 With reference to Black-Scholes formula for the price C of a European call option with strik- K and maturity T, show that (a) Se--Ke- r = 0). = 0, where S = S(0) (you may assume that the risk-free interest rate I (b) Use the result of the preceding part of the question to show that = (x1) (i.e. that the delta of the call option is equal to Þ(21)). 85

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SOLUTION IN DETAILS To derive the results using the BlackScholes formula lets start with the formula ... View the full answer