Given the following information, necessary components of the Black-Scholes model on Non-Dividend Stock Call Option:

d1=0.175

d2=-0.025

N(d1)=0.56946

N(d2)=0.49003

What is the option Greek of Delta of this Call option on non-dividend paying stock?

Question

Given the following information, necessary components of the Black-Scholes model on Non-Dividend Stock Call Option:

d1=0.175

d2=-0.025

N(d1)=0.56946

N(d2)=0.49003

What is the option Greek of Delta of this Call option on non-dividend paying stock?

BlackTom AI · Accepted Answer

We start by identifying what the Delta of a call option on a non-dividend-paying stock is in the Black-Scholes framework. For a European call on a non-dividend stock, Delta is equal to N(d1). In the provided data, N(d1) = 0.56946, and N(d2) = 0.49003.

Option by option analysis:
- Option 0: 0.569. This value is a rounded version of N(d1) = 0.56946. Since Delta for a non-dividend stock call is N(d1), 0.569 is a reasonable rounded estimate of the true Delta.
- If we confused Delta with N(d2), we would have 0.49003, which is not correct for Delta of a call (that would correspond to the probability of finishing in the money under a different parameter, not Delta).
- If we considered Delta to be close to 1 or 0, that would ignore the given d1 value; in this scenario d1 = 0.175 implies a Delta around 0.569, not near 0 or 1, reflecting partial moneyness.

In summary, the Delta of the call option on a non-dividend-paying stock is N(d1). With N(d1) provided as 0.56946, the option’s Delta should be reported as approximately 0.569 when rounded to three decimal places. The given choice 0.569 aligns with this interpretation and the provided N(d1) value.

Given the following information, necessary components of the Black-Scholes model on Non-Dividend Stock Call Option: d1=0.175 d2=-0.025 N(d1)=0.56946 N(d2)=0.49003 What is the option Greek of Delta of this Call option on non-dividend paying stock?单项选择题

类似问题

When you performed the homework assignment, how did you compute the delta?

Which of the following is true for a call option on a non-dividend-paying stock?

N(d1) in the Black-Scholes-Merton model represents:

It is the days after the Supreme Court rules tariffs are illegal. Markets are rallying. SPX = 6000 K = 5900 t = 3 months (0.25) r = 4.5% Implied Volatility = 25% You bought a put before the news when the SPX was 5900 at a price of 265. The price of the put is now 225. The delta of the option is:

Portfolio A consists of 150 shares of a stock and 300 calls on that stock. Portfolio B consists of 575 shares of the stock. The call delta is 0.7. Which portfolio has a higher dollar exposure to a change in stock prices?

An option's delta (Δ) measures the sensitivity of option price to changes in the price of the underlying asset.Which of the following statements about option delta is true?Select as many as you think are true.

My option portfolio's Δ is positive $5,000. I am happy to see the underlying stock price go up.

更多留学生实用工具

智能学习助手

风格化写作助手

论文查重助手

文献引用助手

课堂转译助手

课堂笔记助手

Quiz搜索助手

学校历年真题

智能刷题助手

智能匹配练习

希望你的学习变得更简单