medium · Quantitative Finance derivatives
In the Black-Scholes-Merton framework, the delta of a European call option on a non-dividend-paying stock is given by Φ(d_1).
What is the theoretical delta of a European put option with the same strike and maturity?
- 1 - Φ(d_1)
- -Φ(d_1)
- Φ(d_1) - 1
- Φ(-d_2)
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