Question
According to the Black-Scholes-Merton model, if a call option has a delta of 0.8, then what is the delta of the put option written on
According to the Black-Scholes-Merton model, if a call option has a delta of 0.8, then what is the delta of the put option written on the same underlying asset with the same strike and maturity?
| I. | -0.8 | |
| II. | -0.2 | |
| III. | 0.2 | |
| IV. | 0.8 |
Only answer. NO EXPLANATION NEEDED, thanks
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Bakers Health Care Finance Basic Tools For Nonfinancial Managers
Authors: Thomas K. Ross
6th Edition
1284233162, 978-1284233162
