Question
IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. What
IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. What is the delta of a call option with strike price 69 and maturity 9 months?
Group answer options:
0.4702
0.0751
0.5319
0.2574
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Corporate Finance With Connect Access Card
Authors: Stephen Ross ,Randolph Westerfield ,Jeffrey Jaffe
10th Edition
1259672484, 978-1259672484
