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IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free...

IBM stock currently sells for 64 dollars per share. The implied volatility equals 40.0. The risk-free rate of interest is 5.5 percent continuously compounded. What is the delta of a call option with strike price 69 and maturity 9 months?

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Expert Solution

Call option Delta = 0.5299

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

jeff jeffy answered 2 years ago
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