What are the deltas of a call option and a put option with the following characteristics? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., 32.1616.) |
Stock price | = | $45 |
Exercise price | = | $40 |
Risk-free rate | = | 3.40% per year, compounded continuously |
Maturity | = | 9 months |
Standard deviation | = | 52% per year |
Please refer to below spreadsheet for calculation and answer. Cell reference also provided.
Cell reference -
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