题目
What is, respectively, the delta of an at-the-money (ATM) six-month European call and put option on a non-dividend-paying stock when the riskless rate is 4.0% per annum and the stock price volatility is 28%?
选项
A.0.20 (ATM call) and -0.20 (ATM put)
B.0.20 (ATM call) and -0.80 (ATM put)
C.0.58 (ATM call) and -0.58 (ATM put)
D.0.58 (ATM call) and -0.42 (ATM put)
答案
D
解析
「huixue_img/importSubject/1564170386092986368.png」