Question
A European call option on XYZ stock has a delta of 0.6. A moment later, the stock price increases while the risk-free rate and volatility
A European call option on XYZ stock has a delta of 0.6. A moment later, the stock price increases while the risk-free rate and volatility remain the same. What has happened to the call option's delta?
Group of answer choices
It did not change.
It fell below 0.6.
It rose above 0.6.
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Mathematics Of Finance
Authors: Robert Brown, Steve Kopp, Petr Zima
8th Edition
0070876460, 978-0070876460
