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27-12-2022
Business

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TSLA stock price is currently at $600. The $700-strike European TSLA call option expiring 6 months from now has a delta of 0.44. N(D2) of the option is 0.29. Assume a continuous compounding interest rate of 5% and no dividend. Compute the Black-Merton-Scholes value of the call option (round to 0.01).

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