assume an effective monthly interest rate of 1% unless otherwise indicated in the problem.

10. Consider the Black-Scholes formula for the price of a put option, as given in the Section 12.1 notes. Take partial derivatives to show that Delta for a put option is A = -e-TN-d). You can use the identity Soe-5T N'(-d) = Ke-T N'(-da) given in class. (20 points) J12.Ilvules.pur 1AT48012.1Notes.pdf (109 KB) Page of 3 0 - zoom , time to expiry of the option) will be less than the volatility BBBY has experienced over the past 30 days. o + UN Note: The standard normal table is a very inprecise instrument for calculating the standard normal probabilities needed for the Black-Scholes Formula. In fact, if you use the Black- Scholes option pricing Excel workbook linked to in Canvas, you will obtain call and put prices of $5.03 and $4.83, respectively, for the BBBY options. Thus, while a standard normal table is fine for textbook or exam problems, a real-world option trader would need to calculate the standard normal probabilities using a more precise computing instrument such as Excel, a TI calculator, or the statistics software R. us AT48012.1Notes.pdf wnload MAT48012.1Notes.pdf (109 KB) Page