8.4. Take the partial derivative of the Black-Scholes value of a call option with respect to the...

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8.4. 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). Hint: First show that equals zero by using the fact that the derivative of N with respect to d1, N (d1) equals

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Financial Markets And Corporate Strategy

ISBN: 9780071157612

2nd Edition

Authors: Mark Grinblatt, Sheridan Titman

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