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Let S = $49, s = 40%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $50-strike European
Let S = $49, s = 40%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $50-strike European put option with 3 months until expiration.
| a. | 0.4694 | |
| b. | 0.5696 | |
| c. | 0.6107 | |
| d. | 0.5113 | |
| e. | 0.4824 |
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