The deltas of a call option and a put option

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What are the deltas of a call option and a put option with the following characteristics? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., 32.1616.) Stock price = $39 Exercise price = $35 Risk-free rate = 3.70% per year, compounded continuously Maturity = 8 months Standard deviation = 49% per year

Call option delta -----------------

Put option delta ----------------

One of the expert answer this question but it as wrong. Can anyone please answer this correctly. I will appreciate it

Reference no: EM131525702

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