Question
The current stock price of Alcoa is $70 and the stock does not pay dividends. The instantaneous risk free rate of return is 6%. The
The current stock price of Alcoa is $70 and the stock does not pay dividends. The instantaneous risk free rate of return is 6%. The instantaneous standard deviation of Alcoa's stock is 40%. You wish to purchase a call option on this stock with an exercise price of $75 and an expiration date 30 days from now. Based on the Black-Scholes OPM, the call option's delta will be. PLEASE DON'T SHOW WITH EXCEL AND PLEASE EXPLAIN ALL WORK. THANK YOU!
A. .28 B. .31 C. .62 D. .70
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The Handbook Of Hybrid Securities Convertible Bonds CoCo Bonds And Bail In
Authors: Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle
1st Edition
1118449991, 978-1118449998
