CHAPTER 5

is the cumulative density function of normal distribution. First, we calculate (30.3) (30.4) Eq. (30.2) and Eq. (30.3) will be used repetitively in determining following Greek letters when the underlying asset is a non-dividend paying stock. For a European call option on a non-dividend stock, delta can be shown as (30.5) The derivation of Eq. ................
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