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Basic Question 16 of 32
From the BSM formula, we can obtain a put option's delta as approximately ______.
B. N(d2) - 1
C. 1- N(d1)
A. N(d1) - 1
B. N(d2) - 1
C. 1- N(d1)
User Contributed Comments 2
| User | Comment |
|---|---|
| nieuwed | Why isn't it 1-N(d_1)? |
| xn0315 | for put, the delta is -N(-d1), 1-N(d1) is only the N(-d1). Add "-" to both side of the (1-N(d1)=N(-d1) equation and you will get "A" |
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Learning Outcome Statements
interpret each of the option Greeks;
describe how a delta hedge is executed;
describe the role of gamma risk in options trading;
define implied volatility and explain how it is used in options trading.
CFA® 2025 Level II Curriculum, Volume 5, Module 32.