As maturity approaches, the delta of an at-the-money cash-or-nothing digital call option
A) Increases.
B) Decreases.
C) Remains constant.
D) Converges to a value of $1 / 2$ .

Question

Quizplus · Accepted Answer

As maturity approaches, the delta of an at-the-money cash-or-nothing digital call option increases because the option becomes more likely to be exercised.

As Maturity Approaches, the Delta of an At-The-Money Cash-Or-Nothing Digital 1/21 / 21/2

As Maturity Approaches, the Delta of an At-The-Money Cash-Or-Nothing Digital $1 / 2$