In the Black-Scholes model, how does the delta of an ATM call change as volatility increases?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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In the Black-Scholes model, how does the delta of an ATM call change as volatility increases?

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d d T 1 The delta of a call is given by Nd Whe...View the full answer

Derivatives Principles And Practice

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