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What are the deltas of a call option and a put option with the following characteristics?...

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

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Answer #1

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

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