hard · FRM Part 1 Valuation and Risk Models
A European call option on a stock that pays no dividends has a delta of 0.65.
If the stock price is $100, the strike is $100, the risk-free rate is 5%, and the volatility is 25%, what is the approximate delta of a European put option with the same strike and maturity?
- -0.65
- -0.35
- +0.35
- 0.00
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