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Question II: Consider an European option on a non-dividend-paying stock. Show that the Delta exposure given by the BSM model is expressed as follows: (call)

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Question II: Consider an European option on a non-dividend-paying stock. Show that the Delta exposure given by the BSM model is expressed as follows: (call) (put) N(4) -N(4)-1 where di is defined as in the Black-Scholes-Merton formula and N(x) is the cumulative distribution of a standard normal

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