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Question 794  option, Black-Scholes-Merton option pricing, option delta, no explanation

Which of the following quantities from the Black-Scholes-Merton option pricing formula gives the Delta of a European call option?

(a) $N[d_1]$

(b) $N[d_2]$

(c) $−N[−d_1]$

(d) $−N[−d_2]$

(e) $N[−d_2]$

Where:

$$d_1=\dfrac{\ln⁡[S_0/K]+(r+\sigma^2/2).T)}{\sigma.\sqrt{T}}$$ $$d_2=d_1-\sigma.\sqrt{T}=\dfrac{\ln⁡[S_0/K]+(r-\sigma^2/2).T)}{\sigma.\sqrt{T}}$$

Question 795  option, Black-Scholes-Merton option pricing, option delta, no explanation

Which of the following quantities from the Black-Scholes-Merton option pricing formula gives the Delta of a European put option?

(a) $N[d_1]$

(b) $N[d_2]$

(c) $−N[−d_1]$

(d) $−N[−d_2]$

(e) $N[−d_2]$

Question 796  option, Black-Scholes-Merton option pricing, option delta, no explanation

Which of the following quantities from the Black-Scholes-Merton option pricing formula gives the risk-neutral probability that a European call option will be exercised?

(a) $N[d_1]$

(b) $N[d_2]$

(c) $−N[−d_1]$

(d) $−N[−d_2]$

(e) $N[−d_2]$

Question 797  option, Black-Scholes-Merton option pricing, option delta, no explanation

Which of the following quantities from the Black-Scholes-Merton option pricing formula gives the risk-neutral probability that a European put option will be exercised?

(a) $N[d_1]$

(b) $N[d_2]$

(c) $−N[−d_1]$

(d) $−N[−d_2]$

(e) $N[−d_2]$