Using Black-Scholes Model,

a) Determine a European call option on a NDP stock when the price is $51, the strike price is $50, the risk-free rate is 10%, and the volatility is 25%, and the time to maturity is 3 months. Then, calculate its Delta

The option price: $

(Keep 2 decimal places)

delta

(Keep 2 decimal places)

b) Determine a European put option on a NDP stock when the stock price is $68, the strike price is $71, the risk-free rate is 10%, the volatility is 25%, and the time to maturity is 6 months. Then calculate its delta.

The option price: $

(Keep 2 decimal places)

Delta:

(Keep 2 decimal places)

Question 22 Usu fark-Schers Madel therta The aotion ine: KKeeg 2 dechmal zisced? Dviti. Kene 2 decimal placend doter The maing preit Meep 2 decimal places (Krep 2 derimal plared Question 22 Usu fark-Schers Madel therta The aotion ine: KKeeg 2 dechmal zisced? Dviti. Kene 2 decimal placend doter The maing preit Meep 2 decimal places (Krep 2 derimal plared