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.多项选择题

A

a. When a put option is deep in the money, it's delta will be very close to -1

B

b. For a call option, delta tends to be higher when it is in the money than when the call is out of the money

C

c. If there is no possibility of the option finishing in the money, delta must be zero

D

d. All else being equal, delta will change if the volatility of the underlying asset changes, since volatility affects the likelihood of the option being exercised

登录即可查看完整答案

我们收录了全球超50000道真实原题与详细解析,现在登录,立即获得答案。

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:

The current price of a non-dividend-paying stock is $40. Over the next year it is expected to rise to $46 or fall to $34. Assume the risk-free rate is zero. An investor buys a collar on the stock (i.e., buy 1 share of the stock, buy 1 European put option on the stock, and write 1 European call option on the stock). Both options have a one-year maturity and a strike price of $40. Which of the following is the hedge ratio of the collar position?

更多留学生实用工具

加入我们，立即解锁 海量真题 与 独家解析，让复习快人一步！