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The Greek Letters

The Greek Letters. ILLUSTRATION. The financial institution has sold for $300,000 a European call option on 100,000 shares of a non-dividend-paying stock. S 0 = 49, K = 50, r = 5%, ?= 20%, T = 20 weeks (0.3846 years), ?=13% The Black-Scholes price of the option is about $240,000.

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