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Calculate the delta of the option

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Reference no: EM132960881

Consider the following data on a European call option.

S 25
X 30
r 0.02
T 0.5
sigma 0.17

Problem 1: Calculate the delta of the option. Round to two decimal places.

a. 0.08
b. 0.95
c. 0.89
d. 0.19

Reference no: EM132960881

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