Question
According to the Black Scholes formula, what must be true about the delta of a European call option when the underlying stock price is equal
According to the Black Scholes formula, what must be true about the delta of a European call option when the underlying stock price is equal to the exercise price of the option?
A. Delta is equal to 0.5
B. Delta is less than 0.5
C. Delta is 0
D. Delta is greater than 0.5
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International Financial Management
Authors: Cheol Eun, Bruce Resnick
5thEdition
0073382345, 9780073382340
