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What is the delta on a $30 strike put? Assume S = $32.00, sigma = 0.30, r = 0.05, the stock pays a 1.0% continuous
What is the delta on a $30 strike put? Assume S = $32.00, sigma = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend and the option
expires in 5 months?
Group of answer choices
-0.182
-0.258
-0.302
-0.353
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International Finance Putting Theory Into Practice
Authors: Piet Sercu
1st edition
069113667X, 978-0691136677
