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Consider the following data. S 27.8 X 25 r 0.02 T 0.5 sigma 0.17 Calculate the Black-Scholes value of the call option Calculate the delta How many units...

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Question

Finance

Consider the following data.

S

27.8

X

25

r

0.02

T

0.5

sigma

0.17

  1. Calculate the Black-Scholes value of the call option
  1. Calculate the delta
  1. How many units of the underlying stock should you hold to hedgea short position in 100 call option contracts? The contractmultiplier is 100.

Answer & Explanation Solved by verified expert
3.9 Ratings (611 Votes)
a Value of the call option is    See Answer
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