(B) According to the Black-Scholes model the delta of a European currency call option is given by N(d). When S=K, d, can be defined as: d=av7a(p=0,+ o)(1-1)=6*4 + c) vr-1. Explain how the delta of the currency call changes as volatility increases, if (05 marks) ad. 1 (B) According to the Black-Scholes model the delta of a European currency call option is given by N(d). When S=K, d, can be defined as: d=av7a(p=0,+ o)(1-1)=6*4 + c) vr-1. Explain how the delta of the currency call changes as volatility increases, if (05 marks) ad. 1