In the Black-Scholes model N(d1) represents the
A) hedge ratio.
B) partial derivative of the call's value with respect to the stock price.
C) change in the option's value given a one dollar change in the underlying security's price.
D) Option's delta.
E) all of the above.

Question

Quizplus · Accepted Answer

N(d1) represents the option's delta, which is the hedge ratio, the partial derivative of the call's value with respect to the stock price, and the change in the option's value given a one dollar change in the underlying security's price.

In the Black-Scholes Model N(d1) Represents the