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Calculate the delta of an ATMS 6-month European call option over a stock that does not pay dividends when the risk-free interest rate is 10%
Calculate the delta of an ATMS 6-month European call option over a stock that does not pay dividends when the risk-free interest rate is 10% per year and volatility 25% per year. What is the value of this option as percentage of the share price ? What if the strike of the option is 25%delta?
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