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What are the deltas of a call option and a put option with the following characteristics? Round your answers to 4 decimal places Stock price

What are the deltas of a call option and a put option with the following characteristics?

Round your answers to 4 decimal places

Stock price = $54 Exercise price = $55 Risk-free rate = 4.2% per year, compounded continuously Maturity = 9 months Standard deviation = 67% per year

A) Call option delta

B) Put option delta

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