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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., 32.1616.)
Stock price | = | $46 |
Exercise price | = | $45 |
Risk-free rate | = | 4.6% per year, compounded continuously |
Maturity | = | 9 months |
Standard deviation | = | 63% per year |
Call option delta | |
Put option delta |
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