Question #110
Reading: Reading 31 Valuation of Contingent Claims
PDF File: Reading 31 Valuation of Contingent Claims.pdf
Page: 51
Status: Unattempted
Question
The price of a June call option with an exercise price of $50 falls by $0.50 when the underlying non-dividend paying stock price falls by $2.00. The delta of a June put option with an exercise price of $50 closest to:
Answer Choices:
A. –0.25
B. 0.25
C. –0.75
Explanation
The call option delta is:
The put option delta is 0.25 – 1 = –0.75.