5.19.2005

Q&A: For a call option with a delta of 0.5...

...a $0.5 increase in the underlying price (current price: $100) will cause the price of the call option to move in which direction & by how much?

A : increase by 0.5 * $0.5 = $0.25.

Category: C++ Quant > Derivatives > Options

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