What are the deltas of a call option and a put option with the following characteristics? What

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What are the deltas of a call option and a put option with the following characteristics? What does the delta of the option tell you?

Stock price = $67

Exercise price = $70

Risk-free rate = 5% per year, compounded continuously

Maturity = 9 months

Standard deviation = 49% per year

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Corporate Finance

ISBN: 978-0077861759

10th edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe

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Question Posted: Aug 28, 2014 10:28 AM

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What are the deltas of a call option and a put option with the following characteristics? What

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