The Delta for a Call Option in the Black-Scholes-Merton Model

question 3

Multiple Choice

The delta for a call option in the Black-Scholes-Merton model is:

• A) the number of shares of stock to buy for each written call to eliminate price risk from the resulting position
• B) the partial derivative of the option price with respect to the time remaining to maturity
• C) the partial derivative of the option price with respect to the volatility
• D) the number of shares of the money market account to short for each written call to eliminate price risk from the resulting position
• E) the time change in a delta-hedged call option portfolio

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