Show that Black-Scholes call option hedge ratios increase as the stock price increases. Consider a 1-year option

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Show that Black-Scholes call option hedge ratios increase as the stock price increases. Consider a 1-year option with exercise price $50, on a stock with annual standard deviation 20%. The T-bill rate is 3% per year. Find N(d1) for stock prices

(a) $45,

(b) $50, and

(c) $55. p-69

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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