Financial Risk Manager Part 1
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What is the delta of a call option with a continuous dividend yield? Given: N(d₁) = 0.64, dividend yield q = 1%, time to expiration T = 2 years
What is the delta of a call option with a continuous dividend yield? Given: N(d₁) = 0.64, dividend yield q = 1%, time to expiration T = 2 years
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A
0.64
B
0.63
C
0.65
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