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Merton Black Scholes model:

Risky asset S, with no dividend payments. Volatility 26%. Risk free rate 6%. S0= 90.

Option price: 5.330. Delta: 0.5720. Gamma: 0.0335

Two weeks later the stock price rises to 94. What is the value of the option then?

Financial Management, Finance

  • Category:- Financial Management
  • Reference No.:- M92095294

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