Given a set of variables, the Black-Scholes option pricing formula has a put option delta of −.392. What is the call delta given these same variables?
A)−1.154
B)−.608
C).392
D).608
E)1.154

Question

Quizplus · Accepted Answer

The put and call delta are related to each other through the put-call parity principle, which says that the price of a European call option and a European put option on the same underlying asset, with the same strike price and expiration date, should be equal. Therefore, the call delta can be calculated as 1 minus the put delta, or 1 - (-0.392) = 0.608. Therefore, the answer is (D) 0.608.

Given a Set of Variables, the Black-Scholes Option Pricing Formula