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Let S = $54, s = 22%, r = 6%, and d = 3% (continuously...

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Finance

Let S = $54, s = 22%, r = 6%, and d = 3% (continuously compounded). Compute the Black-Scholes rho ( r) of a $60-strike European call option with 3 months until expiration. (That is, compute the approximate change in the call price given a 1 percentage point increase in the risk-free interest rate.)

Option D is correct, but how? Can you provide solution for Excel? formulas and steps or actual excel work sheet please?

Answers: a.

0.1532
b.

0.0271
c.

0.1223
imaged.

0.0255
e.

0.1069

Answer & Explanation Solved by verified expert
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