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Problem 22-12 Delta 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 $50 = Exercise price = $50 4.4% per year, compounded Risk-free rate= continuously Maturity 9 months Standard deviation = 65% per year Answer is complete but not entirely correct. Call option delta 0.6255 Put option delta -0.3745x

Problem 22-12 Delta 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 $50 = Exercise price = $50 4.4% per year, compounded Risk-free rate= continuously Maturity 9 months Standard deviation = 65% per year Answer is complete but not entirely correct. Call option delta 0.6255 Put option delta -0.3745x

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Problem 22-12 Delta 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 $50 Exercise price = $50 Risk-free rate = 4.4% per year, compounded continuously Maturity 9 months Standard deviation = 65% per year Answer is complete but not entirely correct. Call option delta 0.6255 Put option delta -0.3745
Transcribed Image Text:Problem 22-12 Delta 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 $50 Exercise price = $50 Risk-free rate = 4.4% per year, compounded continuously Maturity 9 months Standard deviation = 65% per year Answer is complete but not entirely correct. Call option delta 0.6255 Put option delta -0.3745
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