According to the Black-Scholes model the delta of a call on ALZ stock is given by N d( 1). When S=K , d1 can be defined as:

(B) According to the Black-Scholes model the delta of a call on ALZ stock is given by N(d). When S=K, d, can be defined as: d = 1 r 1 r+ + O IT-t 2 o 2 Explain how the delta of a ALZ call changes as volatility increases if 1 T-t. (05 marks) do od (T