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1) Calculate the delta of an at-the-money six-month European call option on a non-dividend- paying stock when the risk-free interest rate is 6% per annum

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1) Calculate the delta of an at-the-money six-month European call option on a non-dividend- paying stock when the risk-free interest rate is 6% per annum and the stock price volatility is 15% per annum. What would be the delta if the option was a put? Interpret the signs of the deltas

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