1) Using the Black and Scholes formula, for each payoff compute the price, delta and probability of being exercised: 1a) A call, K=90, So=100, T=0.25, o=0.2 and r=0.01. 1b) A put, K=37, So=35, T=0.3,...

1) Using the Black and Scholes formula, for each payoff compute the price,<br>delta and probability of being exercised:<br>1a) A call, K=90, So=100, T=0.25, o=0.2 and r=0.01.<br>1b) A put, K=37, So=35, T=0.3, o=0.3 and r=0.02.<br>1c) A call, K=23, So=24, T=5 months, o=24% and r=2%.<br>1d) A call, K=95% of So, So=50, T=9 months, o=50% and r=3%.<br>1e) A put, K=97% of So, So=95, T=1 year, o=D30% and r=2%.<br>1f) An

Extracted text: 1) Using the Black and Scholes formula, for each payoff compute the price, delta and probability of being exercised: 1a) A call, K=90, So=100, T=0.25, o=0.2 and r=0.01. 1b) A put, K=37, So=35, T=0.3, o=0.3 and r=0.02. 1c) A call, K=23, So=24, T=5 months, o=24% and r=2%. 1d) A call, K=95% of So, So=50, T=9 months, o=50% and r=3%. 1e) A put, K=97% of So, So=95, T=1 year, o=D30% and r=2%. 1f) An "at-the-money" straddle, So=95, T = 3 months, o=35% and r=2%.

Jun 02, 2022

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1) Using the Black and Scholes formula, for each payoff compute the price, delta and probability of being exercised: 1a) A call, K=90, So=100, T=0.25, o=0.2 and r=0.01. 1b) A put, K=37, So=35, T=0.3,...

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