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

question 14

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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