The delta of a call option can be calculated as part of the Black-Scholes model since it is equal to A) N(d₁) B) N(d₂) C) Ke^-rt D) d₂

Name: The delta of a call option can be calculated as part of the Black-Scholes model since it is equal to A) N(d 1 ) B) N(d 2 ) C) Ke -rt D) d 2
Brand: Quizplus
Rating: 4.8 (38 reviews)

Question

Quizplus · Accepted Answer

In the Black-Scholes model, the delta of a call option is represented by N(d1), where N is the cumulative distribution function of the standard normal distribution.

The Delta of a Call Option Can Be Calculated as Part