In the Black- Scholes Pricing Formula, a Delta of 0

question 35

Multiple Choice

In the Black- Scholes pricing formula, a delta of 0.50 means:

• A) a one cent movement in the price of the option will cause a 0.50 loss to the holder's portfolio.
• B) a one cent movement in the price of the underlying security will cause a 0.50 change in gamma.
• C) a one cent movement in the price of the underlying security will cause a 0.50 cent change in the value of the option.
• D) a 0.50 cent movement in the price of the option will halve the time value.

---

Definitions:

Reminders

Cues or signals that prompt the recall of information or motivate actions that might otherwise be forgotten.

Memory Testing

Memory testing refers to the assessment of an individual's ability to recall, recognize, or utilize information that has been previously learned, helping to identify possible impairments or declines.

Improvements

Refers to enhancements or betterments in situations, processes, or qualities.

Deficits

The shortfall or deficiency in a particular area such as budget, skill, or knowledge.