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3. For the same option above, ie, on a non-dividend-paying stock when the stock price is $35, the exercise price is $31, the risk-free interest

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3. For the same option above, ie, on a non-dividend-paying stock when the stock price is $35, the exercise price is $31, the risk-free interest rate is 4% per annum, the volatility is 20% per annum, and the time to maturity is four months, calculate and interpret the following greeks. (Total marks: 30) a. Delta of the European call and put

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