Question
What are the deltas of a call option and a put option with the following characteristics? (A negative answer should be indicated by a minus
| What are the deltas of a call option and a put option with the following characteristics? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., .1616.) |
| Stock price | = | $39 |
| Exercise price | = | $35 |
| Risk-free rate | = | 3.70% per year, compounded continuously |
| Maturity | = | 8 months |
| Standard deviation | = | 49% per year |
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Financial Management For Public, Health, And Not-for-Profit Organizations
Authors: Steven A. Finkler, Daniel L. Smith, Thad D. Calabrese, Robert M. Purtell
6th Edition
150639681X, 978-1506396811
