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Find the delta of a call option on the stock

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Reference no: EM132714258

A certain stock is currently trading for Rs 95 per share. The annual continuously compounded risk-free interest rate is 6%, and the stock pays dividends with an annual continuously compounded yield of 3%. The stock volatility relevant for the Black-Scholes formula is 32%. (a) Find the delta of a call option on the stock with strike price Rs 101 and time to expiration of 3 years. (b) Find the delta of a put option on the stock with strike price Rs 101 and time to expiration of 3 years.

Reference no: EM132714258

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