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TSLA stock price is currently at $800. The stock return has an annualized volatility (sigma) of...

TSLA stock price is currently at $800. The stock return has an annualized volatility (sigma) of 70%. The stock does not pay dividend and assume zero interest rate. Compute the Black-Merton-Scholes delta on a 6-month European call option on TSLA with a strike of $1000.

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