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Consider the following data on a European call option. S 30 X 25 r 0.02 T 0.5 sigma 0.17 Calculate the delta of the option.
Consider the following data on a European call option.
| S | 30 |
| X | 25 |
| r | 0.02 |
| T | 0.5 |
| sigma | 0.17 |
Calculate the delta of the option. Round to two decimal places.
| a. | 0.91 | |
| b. | 0.95 | |
| c. | 0.79 | |
| d. | 0.88 |
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