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

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8. Show that Black-Scholes call option hedge ratios also 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 8% per year. Find N(d1) for stock prices $45, $50, and $55.

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Investments

ISBN: 9780077261450

8th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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