题目
You are given the following information about a call option: Time to maturity = 2 years Continuous risk-free rate = 4% Continuous dividend yield = 1% N(d1) = 0.64 Calculate the delta of this option.
选项
A.-0.64
B.0.36
C.0.63
D.0.64
答案
C
解析
The delta of a call option with a continuous dividend yield is given by the following formula:「huixue_img/importSubject/1564170386227204096.png」