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Calculate the option value

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Reference no: EM133046192

Consider a European call option on a non-dividend-paying stock where the stock price is $46, the strike price is $50, the risk-free rate is 4% per annum, the volatility is 32% per annum, and the time to maturity is 9 months.

a. Use the spreadsheet provided to calculate the option's value.

b. Use the spreadsheet provided to calculate the option's delta.

c. Use the spreadsheet provided to calculate the option's gamma.

d. Use the spreadsheet provided to calculate the option's vega.

e. Use the spreadsheet provided to calculate the option's theta.

Reference no: EM133046192

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