Given a set of variables, the Black-Scholes option pricing formula has a call option delta of .496. What is the put delta given these same variables?
A)−1.496
B)−.504
C).496
D).504
E)1.496

Name: Given a set of variables, the Black-Scholes option pricing formula has a call option delta of .496. What is the put delta given these same variables? A)−1.496 B)−.504 C).496 D).504 E)1.496
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Question

Quizplus · Accepted Answer

By put-call parity, the put delta is equal to the call delta minus 1. Therefore, put delta = 0.496 - 1 = -0.504.

Given a Set of Variables, the Black-Scholes Option Pricing Formula