Question
1c) Let S = $64, s = 42%, r = 7.5%, and d = 1% (continuously compounded). Compute the Black-Scholes delta (D) of a $65-strike
| 1c) Let S = $64, s = 42%, r = 7.5%, and d = 1% (continuously compounded). Compute the Black-Scholes delta (D) of a $65-strike European put option with 3 months until expiration. | ||||||||||||
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The Evolution Of Nordic Finance
Authors: Steffen Elkiær Andersen
2011th Edition
0230241557, 978-0230241558
