A Stock Is Currently Trading At $S _ { 0 } = 26.15$

question 8

Multiple Choice

A stock is currently trading at $S _ { 0 } = 26.15$ . It is not expected to pay dividends over the next year. You price a one-month put option on the stock with a strike of $K = 25$ using the Black-Scholes model and find the following numbers: $$\begin{array} { r l r l } d _ { 1 } & = 0.717 & d _ { 2 } & = 0.645 \\N \left( d _ { 1 } \right) & = 0.763 & N \left( d _ { 2 } \right) & = 0.740\end{array}$$ Given this information, the delta of the put is

• A) \(- 0.355\) .
• B) \(- 0.283\) .
• C) \(- 0.260\) .
• D) \(- 0.237\) .

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Definitions:

Cheating

Engaging in dishonest or unfair actions to gain an advantage, commonly associated with academic, relationship, or sport contexts.

Dissonance Magnitude

Refers to the degree of conflict or discomfort experienced when holding two or more contradictory beliefs, values, or attitudes.

Reversible

Capable of returning to an original condition or state, implying change is not permanent.

Self-Esteem

A person's overall subjective emotional evaluation of their own worth or value.