Question

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 final answers to 4 decimal places. (e.g., 32.1616))

Stock price	=	$49
Exercise price	=	$45
Risk-free rate	=	3.20% per year, compounded continuously
Maturity	=	8 months
Standard deviation	=	54% per year

Call option delta
Put option delta

Answer 1

ANSWER IN THE IMAGE ((YELLOW HIGHLIGHTED). FEEL FREE TO ASK ANY DOUBTS. THUMBS UP PLEASE.

E20 X V fx =1-C18 A C D E F G H Type of Option Stock Price (So) Exercise (Strike) Price (K) Time to Maturity (in years) (t) Annual Risk Free Rate (1) Annualized Volatility (0) Option Price Call Option 49.00 45.00 0.67 3.200% 54.00% 10.8243 Calculation Parameters (Additional): In(So/K) (r+o/2) ovt d2 0.085 0.119 0.4409 0.4620 0.021 0.6780 Delat of Call = N(D1)= 0.6780 0.508 Delta of Put = 1-N(d1) (with opposite sign of call) 0.3220 0.3220 0.492 0.97889 N(di) Nd2) N(-01) N(-d2) en

Co- So. N(d,) - K. N (42) 11 ert тут da = dir rJT Po= Cotk - so edt