After discussing the concept of a delta-neutral portfolio, Washington determines that he needs to further explain the
Question:
After discussing the concept of a delta-neutral portfolio, Washington determines that he needs to further explain the concept of delta. Washington draws the value of an option as a function of the underlying stock price. Using this diagram, indicate how delta is interpreted. Delta is the:
a. Slope in the option price diagram.
b. Curvature of the option price graph.
c. Level in the option price diagram.
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