Contract of a call option on stock

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Using 6 decimals, you want to buy one contract of a call option on Stock No. 1 which is currently trading at $40 per share of the stock. The exercise (strike) price is $40. The risk free rate is 10%. The variance is 4%. The call option will expire 6 months from now.

a) The value of N(d2) is...

b) The price of call option should be...

 

c) The value of delta is....

Reference no: EM13951858

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