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A stock is currently selling for $40. The stock pays no dividends. Given that the volatility of the stock relevant for the Black-Scholes equation
A stock is currently selling for $40. The stock pays no dividends. Given that the volatility of the stock relevant for the Black-Scholes equation is 30% and the continuously compounded risk-free interest rate is 8%. Consider a $45-strike purchased call on the stock with time to expiration in 6 months. What are the delta, gamma, and vega?
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To calculate the delta gamma and vega of the call option we can use the BlackScholes formula The for...
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Corporate Finance
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Gordon Ro
7th Canadian Edition
007090653X, 978-0070906532, 978-0071339575
