QUESTION 6 Suppose we are given the following information on call and put options on...
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QUESTION 6 Suppose we are given the following information on call and put options on a stock: S = 60, X = 60, r = 3%, T=0.5, 0 = 20%, and the stock doesn't pay any dividend. Calculate the delta of a shortstraddle (short both the call and the put option) using the above two options based on BSM model. 0.099 0.550 0.450 0.000
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