corresponding European put at the same strike and maturity? (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 1Nd(). When SK=,1d can be defined as d1=Tt1(rq+212)(Tt)=(rq+21)Tt. Explain how the delta of this call option changes as volatility increases, if d1=(2q2r+21)Tt. (04 marks)