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What are the call and put deltas

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XYZ stock is currently trading at $24.35. Consider call and put options with a strike of $25.00 expiring in 12 days (=0.0476 years). Suppose that the volatility of XYZ stock is 40% and that the interest rate is 3%. What are the Black-Scholes prices of the call and the put? What are the call and put deltas? You may assume the stock pays no dividends.

Reference no: EM132607340

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