题目
The spot EUR/USD exchange rate is $1.30 (i.e., USD 1.30 per 1 EUR) with a volatility of 30% per annum. The USD riskless rate is 4% per annum and the EUR riskless rate is 3% per annum. What is the delta of a one-year call option on the Euro with a strike price of EUR/USD $1.36?
选项
A.0.4980
B.0.5131
C.0.5529
D.0.6078
答案
A
解析
「huixue_img/importSubject/1564170387040899072.png」我们用外国无风险利率代替股息收益率：d_1=ln〖(S_0/K) (r ＋σ^2/2)T〗/(σ√T)， 则 d_1= 0.0329， N(d_1) = 0.5131,。再次用国外无风险利率代替股息收益率：看跌期权的delta= N(d_1) e^(－qT)= 0.4980