Question

# A put option maturing in 6 months is priced using the Black-Scholes model. Strike price is...

A put option maturing in 6 months is priced using the Black-Scholes model. Strike price is 105, current price is 111 and the stock pays no dividend
value of d2= .390 and the current risk-free interest rate is 4%. The price of the put option is 4.45. Calculate the delta (Δ) of the put option? Show work please.

SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

#### Earn Coins

Coins can be redeemed for fabulous gifts.

##### Need Online Homework Help?

Most questions answered within 1 hours.

##### Active Questions
• Give an example of the effect of interest rate changes on a fixed coupon bond, what...
• Thirty-two small communities in Connecticut (population near 10,000 each) gave an average of x = 138.5...
• The value of the integral   ∫C(3x2+ycosx)dx+(sinx−4y3)dy∫C(3x2+ycos⁡x)dx+(sin⁡x−4y3)dy, where CC is an arbitrary path from A(−π,−1)A(−π,−1) to B(2π,1)B(2π,1),...
• the ordinates of a 6-h unit hydrograph for a particular catchment are 0,10,30,50,40,30,20,10 and 0 m3/s...
• Please solve this using R code Part 3: A particular item is handmade in two stages...
• Compare the American Cousnelors Association (ACA) code of ethics regarding conflict of interest to the National...