Which of the Following Statements About the Delta Is Not

question 49

Multiple Choice

Which of the following statements about the delta is not true?

• A)it ranges from zero to one
• B)it converges to zero or one at expiration
• C)it is given by N(d1)in the Black-Scholes-Merton model
• D)it changes slowly near expiration if the option is at-the-money
• E)none of the above

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