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Black-Scholes Assumptions & Greeks

Junior Quant · Derivatives Pricing

Question

State all five Black-Scholes assumptions explicitly. Derive Delta and Gamma analytically from the Black-Scholes call price formula C=S N(d1)−Ke−rT N(d2)C = S\,N(d_1) - K e^{-rT}\,N(d_2).
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