Delta of at money six month european call option

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Reference no: EM131909680

1) A stock price is currently $40. It is known that at the end of one month it will be either $42 or $38. The risk free interest rate is 8% per annum with continuous compounding. What is the value of a one-month European call option with a strike price of $39

Use excel and please break down the answer

2) Calculate the delta of an at the money six month European call option on a non dividend paying stok when the risk free interrest rate is 10% per annum and the stock price volatilitiy is 25% per annum.

Reference no: EM131909680

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