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Problem #10: Calculate the delta of an at-the-money 12-month European call option on a nondividend-paying stock when the risk-free interest rate is 12% per annum

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Problem #10: Calculate the delta of an at-the-money 12-month European call option on a nondividend-paying stock when the risk-free interest rate is 12% per annum and the stock price volatility is 25% per annum. (A) 0.742 (B) 0.7711 (C) 0.7274 (D) 0.7565 (E) 0.7129 Problem #10: Select Save

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