In the Black- Scholes pricing formula, a delta of 0.50 means:
A) a one cent movement in the price of the option will cause a 0.50 loss to the holder's portfolio.
B) a one cent movement in the price of the underlying security will cause a 0.50 change in gamma.
C) a one cent movement in the price of the underlying security will cause a 0.50 cent change in the value of the option.
D) a 0.50 cent movement in the price of the option will halve the time value.

Question

Quizplus · Accepted Answer

Delta of 0.50 means that for every one cent movement in the price of the underlying security, the option's price is expected to change by 0.50 cents.

In the Black- Scholes Pricing Formula, a Delta of 0