Explanation:
Delta of a call with continuous dividend = N(d₁) × e⁻q×t
Delta = 0.68 × e⁻⁰·⁰¹×³
Delta = 0.66
(Book 4, Module 62.2, LO 62.c)
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Question 87
A hedge fund manager is given the following information about a call option:
What is the delta of this option?
A
0.66.
B
0.64.
C
0.62.
D
0.60.
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