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:

Goodness-of-fit Test

A goodness-of-fit test is a statistical test used to determine how well a set of observed values fits a specific distribution or model.

Normally Distributed

Characterized by its symmetry around the mean, this probability distribution highlights a more frequent occurrence of data near the mean compared to far from the mean.

Goodness-of-fit Test

A statistical method utilized to assess the adequacy of observed data conforming to a particular distribution.

Normally Distributed

Explains a probability distribution pattern that is uniform on both sides of the mean, highlighting that data points closer to the mean have a higher frequency of occurrence compared to those farther away.