Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. in the black-scholes model when everything else is

In the Black-Scholes model when everything else is held constant, the deltas of European call...

80.2K

Verified Solution

Question

Finance

In the Black-Scholes model when everything else is held constant, the deltas of European call and put options with the same strike and maturity, they both increase as the stock price increases because:

Group of answer choices

The gammas of the call and the put are strictly positive for all values of the stock price.

The vegas of the call and the put are strictly positive for all values of the stock price.

The stock price is always positive in the Black-Scholes model.

It is not clear how the delta should move as the stock price increases.

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Q

Name and briefly explain the principal categories of criteria on which bankers base their decisions when...

Finance
Q

In testing a certain kind or truck tire over rugged​ terrain, it is found that 40​%...

Statistics
Q

What detector(s) could be used to measure chloroacetaldehyde using GC? How would the detector(s) measure the...

Chemistry
Q

Experiment-I (Permanent Magnetic): Draw two lines at right angles to each other on the sheet of paper,...

Physics
Q

A bullet with a mass m b = 11.5 g is fired into a block...

Physics
Q

A liquid at 300 F flows through a 3-in. steel pipe (schedule 40) covered with a...

Mechanical Engineering
Q

To get an output Y 1 in given circuit which of the following input will...

Physics
Q

An electron accelerated by a potential difference V 3 6 V first enters a region...

Physics
Q

E9-1(Static) Calculating Unknown Values for Direct Materials, Direct Labgr Variances [LO 9-3,9-4] Ironwood...

Accounting
Q

Wolsey Industries Inc. expects to maintain the same inventories at the end of 20Y8 as...

Accounting
Q

Belmont Corporation issues $100,000 of 7% bonds, due in 10 years, when the market rate...

Accounting
Q

Problem 10-2 Calculating Returns [LO 1] Suppose a stock had an initial price of $96...

Finance