Which of the following statements about the delta is not true?
A)it ranges from zero to one
B)it converges to zero or one at expiration
C)it is given by N(d1)in the Black-Scholes-Merton model
D)it changes slowly near expiration if the option is at-the-money
E)none of the above

Question

Quizplus · Accepted Answer

Delta changes rapidly near expiration if the option is at-the-money, not slowly.

Which of the Following Statements About the Delta Is Not