Answered step by step
Verified Expert Solution
Question
1 Approved Answer
According to the Black-Scholes-Merton model, if a call option is almost surely out of the money then I. its option delta is close to 1
According to the Black-Scholes-Merton model, if a call option is almost surely out of the money then
I. | its option delta is close to 1 | |
II. | its option delta is close to -1 | |
III. | its option delta is smaller in absolute value than the delta of the corresponding (same strike) put option | |
IV. | its option delta is smaller than the option delta of the corresponding (same strike) put option |
Only answer. NO EXPLANATION NEEDED, thanks
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started