$\begin{array}{llcc}
\text { Stock price } &\$57 \
\text { Strike price} &\$60\
\text { Time to maturity } &56 \text {days}\
\text { Standard deviation } &79\%\
\text { Risk-free rate } &5.1\%\

\end{array}$

When the time period is in days, such as 56 days, the input for the time period is " = 56/365"
-What is the delta of the call option?
A) 0.506
B) 0.511
C) 0.652
D) 0.762
E) 0.916

Question

$\begin{array}{llcc}
  \text { Stock price } &\$57  \
 \text {  Strike price} &\$60\
 \text { Time to maturity } &56  \text {days}\
 \text { Standard deviation } &79\%\
 \text { Risk-free rate } &5.1\%\

\end{array}$

When the time period is in days, such as 56 days, the input for the time period is " = 56/365"
-What is the delta of the call option?
A) 0.506
B) 0.511
C) 0.652
D) 0.762
E) 0.916

Quizplus · Accepted Answer

The delta of a call option can be calculated using the Black-Scholes model, which requires inputs including the stock price, strike price, time to maturity (in years), standard deviation (volatility), and the risk-free rate. Given the information, the delta value closest to the result of such a calculation, considering the inputs and the nature of the Black-Scholes model, would be 0.511. This choice is reasonable given the parameters, especially with the stock price being close to the strike price and the relatively short time to maturity.

When the Time Period Is in Days, Such as 56