Compute the call option delta and interpret

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1. Find the duration of a bond with settlement date June 13, 2016, and maturity date December 19, 2025. The coupon rate of the bond is 6%, and the bond pays coupons semiannually. The bond is selling at a yield to maturity of 7%. (Do not round intermediate calculations. Round your answers to 4 decimal places.)

2. Special Motors Corporation’s stock price is $59, the strike (exercise) price is $60, the maturity is forty-four days, the implied volatility is 30% per annum and the risk-free rate is 3.3% per annum. (a) Compute the call option’s delta and interpret your answer (b) Compute the call option’s gamma and interpret your answers.

Reference no: EM131905607

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