(B) According to the Black-Scholes model the delta of a European call option written on a stock index with dividend yield is given by N(d). When S = K, d, can be defined as: . 1 9 1 d r-9 + T o 2 Explain how the delta of this call option changes as volatility increases, if Od T-t. (04 marks) 9 2 (B) According to the Black-Scholes model the delta of a European call option written on a stock index with dividend yield is given by N(d). When S = K, d, can be defined as: . 1 9 1 d r-9 + T o 2 Explain how the delta of this call option changes as volatility increases, if Od T-t. (04 marks) 9 2