有道2011 sample里面的题请教一下前辈。
答案里说，S=K， 条件里好像读不出来，不知道是隐含在什么地方的？
小弟在此拜谢！

9.
Consider the Black-Scholes framework. A market-maker, who delta-hedges, sells a three-month at-the-money European call option on a nondividend-paying stock.
You are given:
(i) The continuously compounded risk-free interest rate is 10%.
(ii) The current stock price is 50.
(iii) The current call option delta is 0.61791.
(iv) There are 365 days in the year.
If, after one day, the market-maker has zero profit or loss, determine the stock pricemove over the day.
Answer: 0.52

QQ:7026151  欢迎交朋友！