HW10-3.xlsx - S K-40 K-45 T R DELTA SIGMA d1-call d2-call...

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S 40 put-40 1.99049699 for 2 call K-40 40 put-45 5.08238408 for 1 put K-45 45 T 0.25 portfolio R 0.08 DELTA 0 SIGMA 0.3 S1 after 1 day d1-call 0.20804775 d2-call 0.05825337 S1 d1-put -0.57825035 after 1 day d2-put -0.72804473 N(d1)-call 0.58240416 N(d2)-call 0.5232266 N(d1)'-call 0.39040115 N(d2)'-call 0.39826596 N(d1)-put 0.28154756 N(d2)-put 0.2332931 N(d1)'-put 0.33752177 N(d2)'-put 0.30606337
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delta -0.41759584
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