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a) Calculate the Delta of an at-the-money 6-month European call option when the risk free rate is 7% per year and the stocks volatility is
a) Calculate the Delta of an at-the-money 6-month European call option when the risk free rate is 7% per year and the stocks volatility is 27% per year.
b) Calculate the Gamma of the option from part a. Assume s = 100.
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