问题如下:
What is the delta of a short position on 100,000 call options on a stock with a market price and strike price of USO 40 when the risk-free rate is 5%, the volatility is 22%, and the time to maturity is nine months?
选项:
解释:
The delta of a long position in one option is N(d1 ). In this case:
d1== 0.2921
so that N(d1 ) = 0.615. The delta of a short position in one option is -0.615 and the delta of a short position in 100,000 options is -61,500.
可以用 S=K时 ,delta = 0.5 或者 -0.5 这样理解 吗?