Take the partial derivative of the Black-Scholes value of a call option with respect to the underlying
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Take the partial derivative of the Black-Scholes value of a call option with respect to the underlying security’s price, S0. Show that this derivative is positive and equal to N(d1).AppendixLO1
Transcribed Image Text:
1 to d, N'(d) equals V2exp(-.5d+)
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Related Book For
Financial Markets And Corporate Strategy
ISBN: 9780077119027
1st Edition
Authors: David Hillier, Mark Grinblatt, Sheridan Titman
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