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dear sir,
at the december 2010 paper question (3),marengo.to calculate delta we use the formula given in the exam.T is the time until option expires in years.in this question..the t is not given but the answer gave 1/6 as the time…sir,can u tell me how did he get 1/6?thanks!The fifth line of the question says that they are concerned about share price falling in the next 2 months.
2 months = 2/12 years (or 1/6) 🙂
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