Intuitively speaking, how does the delta of a deep OTM 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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Intuitively speaking, how does the delta of a deep OTM call change as volatility increases?

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To understand this lets first clarify what these terms mean 1 Delta Delta in financial terms simply ...View the full answer

Derivatives Principles And Practice

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