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A call option on a stock has a strike price equal to the stock price. The standard deviation is 0.1 The time to maturity is
A call option on a stock has a strike price equal to the stock price.
The standard deviation is 0.1
The time to maturity is 1-Year
The Interest rate is 10%
The Dividend yield = 0.
Calculate the Delta.
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Financial Institutions And Markets
Authors: Jeff Madura
10th International Edition
0538482176, 9780538482172
