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  • 23-05-2023
  • Business
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TSLA stock price is currently at $700. The $600-strike European TSLA call option expiring one year from now has a delta of 0.75. N(d2) of the option is 0.45. Assume a continuous compounding interest rate of 6% and no dividend. Compute the Black-Merton-Scholes value of the put option at the same strike and maturity (round to 0.01).

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