The Delta of a Up-And-Out Call Option with Barrier $H$ Lying Above the Strike

question 21

Multiple Choice

The delta of a up-and-out call option with barrier $H$ lying above the strike $K$ is most likely to be negative when

• A)The underlying stock price \(S\)
• Is at or near
• \(K\)
• )
• B)The underlying stock price \(S\)
• Is close to and less than
• \(H\)
• )
• C)The underlying stock price \(S\)
• Is well below
• \(K\)
• )
• D)The delta of a call cannot be negative.

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