After discussing the concept of a delta-neutral portfolio, Washington determines that he needs to further explain the

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After discussing the concept of a delta-neutral portfolio, Washington determines that he needs to further explain the concept of delta. He draws the value of an option as a function of the underlying stock price. In such a diagram, the option’s delta is the:

a. Slope in the option price diagram.

b. Curvature of the option price graph.

c. Level of the option price. p-69

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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