Given a Set of Variables, the Black-Scholes Option Pricing Formula

question 33

Multiple Choice

Given a set of variables, the Black-Scholes option pricing formula has a call option delta of .496. What is the put delta given these same variables?

• A)−1.496
• B)−.504
• C).496
• D).504
• E)1.496

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Definitions:

Benefits Promised

Guarantees or assurances given by an employer to employees, often relating to retirement, health care, or other support.

Case-by-Case Basis

A method of analysis or decision-making where each situation is considered individually, with attention to its unique aspects and details.

Substantial

Significantly valuable, large, or meaningful.

Repudiation

The rejection or refusal to acknowledge or pay a debt, obligation, or contract.