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**Question 11** You are given the following information about a call option: - Time to maturity = 3 years. - Continuous risk-free rate = 3%. - Continuous dividend yield = 2%. - $ N(d_1) = 0.7 $. What is the delta of this option? | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

The delta of a call option with a continuous dividend yield is given by the following formula:

\text{Delta} = N(d_1) \times e^{-qT}

where:

$q =$ continuous dividend yield
$T =$ time to maturity

So,

\text{Delta} = 0.7 \times e^{-0.02 \times 3} = 0.66.

(Book 4, Module 62.2, LO 62.c)

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Question 11

You are given the following information about a call option:

Time to maturity = 3 years.

Continuous risk-free rate = 3%.

Continuous dividend yield = 2%.

$N(d_1) = 0.7$ .

What is the delta of this option?

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Financial Risk Manager Part 1

Get started today

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Get started today

Question 11 You are given the following information about a call option: Time to maturity = 3 years. Continuous risk-free rate = 3%. Continuous dividend yield = 2%. N(d1)=0.7N(d_1) = 0.7N(d1​)=0.7. What is the delta of this option?

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Question 11

You are given the following information about a call option:

Time to maturity = 3 years.

Continuous risk-free rate = 3%.

Continuous dividend yield = 2%.

$N(d_1) = 0.7$ .

What is the delta of this option?