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elf_fu elf_fu
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6 years ago
What is the delta on a $20 strike call? Assume S = $22.00, σ = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend and the option expires in 80 days?
A) 0.790
B) 0.820
C) 0.850
D) 0.880
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
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phuongha2892phuongha2892
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#1
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6 years ago
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elf_fu Author
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#2
6 years ago
Thank you phuongha2892
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