If the Black-Scholes Call Delta (Assume a Non-Dividend-Paying Stock)is Equal $S = K$

question 10

Multiple Choice

If the Black-Scholes call delta (assume a non-dividend-paying stock) is equal to 1/2,then which of the following statements is most valid?

• A)The call is at-the-money,i.e. , \(S = K\)
• )
• B)The call is at-the-money forward,i.e. , \(S = P V ( K )\)
• )
• C) \(P V ( K ) > S\)
• )
• D) \(P V ( K ) < S\)
• )

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