Solved: Price sensitivity of the option to change, Finance Basics

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Price sensitivity of the option to change

Question: Determine the price of a call option assuming that the exercise price is $45, the value of the stock is $43, risk -free rate is 3%, standard deviation of 35%, and 6 months to maturity. What is the price sensitivity of the option to changes to the price of the stock? Would the sensitivity be different if the exercise price was $60?

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Finance Basics: Price sensitivity of the option to change

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