题目
The risk-free rate is 3.0% per annum while the price of a non-dividend-paying stock is $120.00. For a European call option with a strike price of $100.00 and one year maturity, the Black-Scholes-Merton (BSM) option pricing model returns $27.50 for the value of this in-the-money call; i.e., S(0) = $120.00, K = $100.00, σ = 30%, T = 1.0 year, and r = 3.0% informs price of (c) = $27.50. The risk-neutral probability that the option will be exercised (equivalently, that it will expire in-the-money), N(d2), is 71.0%. Which is nearest to the option's delta?
选项
A.0.559
B.0.620
C.0.714
D.0.803
答案
D
解析
Because call=S_0 N(d_1 )-Ke^(-rT) N(d_2 ) N(d_1 )=0.8033 call=S_0 N(d_1 )－Ke^(－rT) N(d_2 ) N(d_1 )=0.8033