Question #111
Reading: Reading 31 Valuation of Contingent Claims
PDF File: Reading 31 Valuation of Contingent Claims.pdf
Page: 51
Status: Unattempted
Correct Answer: A
Question
The delta of an option is equal to the:
Answer Choices:
A. dollar change in the stock price divided by the dollar change in the option price
B. dollar change in the option price divided by the dollar change in the stock price
C. percentage change in option price divided by the percentage change in the asset price
Explanation
deltacall =
= 0.25
$0.50
$2.00
The delta of an option is the dollar change in option price per $1 change in the price of the
underlying asset.