Consider the following data.
S
27.8
X
25
r
0.02
T
0.5
sigma
0.17
Calculate the Black-Scholes value of the call option
Calculate the delta
How many units...
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Finance
Consider the following data.
S
27.8
X
25
r
0.02
T
0.5
sigma
0.17
Calculate the Black-Scholes value of the call option
Calculate the delta
How many units of the underlying stock should you hold to hedgea short position in 100 call option contracts? The contractmultiplier is 100.
Answer & Explanation
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3.9 Ratings (611 Votes)
a Value of the call option is
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