Use the information below to answer the following question.
Assume a stock price of $88; risk-free rate of 4 percent per year, compounded continuously; time to maturity of five months; standard deviation of 48 percent per year; and a put and call exercise price of $85. What is the delta of the put option?
A) −.6850
B) −.3742
C) −.3158
D) −.0525
E) −.4685

Question

Use the information below to answer the following question. 
Assume a stock price of $88; risk-free rate of 4 percent per year, compounded continuously; time to maturity of five months; standard deviation of 48 percent per year; and a put and call exercise price of $85. What is the delta of the put option?
A) −.6850 
B) −.3742 
C) −.3158 
D) −.0525 
E) −.4685

Quizplus · Accepted Answer

The Answer of Use the information below to answer the following question. 
Assume a stock price of $88; risk-free rate of 4 percent per year, compounded continuously; time to maturity of five months; standard deviation of 48 percent per year; and a put and call exercise price of $85. What is the delta of the put option?
A) −.6850 
B) −.3742 
C) −.3158 
D) −.0525 
E) −.4685

Use the Information Below to Answer the Following Question