A Stock Is Currently Trading At $S _ { 0 } = 21.30$

question 2

Multiple Choice

A stock is currently trading at $S _ { 0 } = 21.30$ . 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 $K = 22.50$ using the Black-Scholes model and find the following numbers: $$\begin{array} { r l r l } d _ { 1 } & = - 0.666 & d _ { 2 } & = - 0.738 \\N \left( d _ { 1 } \right) & = 0.253 & N \left( d _ { 2 } \right) & = 0.230\end{array}$$ Given this information, the delta of the put is

• A) \(- 0.770\) .
• B) \(- 0.334\) .
• C) \(- 0.262\) .
• D) \(- 0.747\) .

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Definitions:

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A non-invasive imaging technique that uses sound waves to create images of organs within the abdomen, aiding in the diagnosis of various conditions.

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Electron

A minute particle of matter charged with the smallest known amount of negative electricity; opposite of proton.

Negative Electricity

An outdated term historically used to describe what is now known as the flow of electrons, or electric current, particularly in the context of static electricity.