What does Black-Scholes Delta (Delta) of a call option represent?

Option B: The rate of change of option price with respect to changes in the underlying asset's price.. Solution: Correct Answer: Option B Explanation: Delta (Delta) measures the sensitivity of the option's theoretical value to a change in the price of the underlying asset: Delta = partial C/partial S = N(d1) For a standard call option, Delta ranges between 0 and 1.

What does Black-Scholes Delta ($\Delta$) of a call option represent?

The correct answer is Option B: The rate of change of option price with respect to changes in the underlying asset's price.. Correct Answer: Option **B** Explanation: Delta ($\Delta$) measures the sensitivity of the option's theoretical value to a change in the price of the underlying asset: $$\Delta = \frac{\partial C}{\partial S} = N(d_1)$$ For a standard call option, Delta ranges between 0 and 1.

Advanced Financial Management (AFM)Question 5829 of 10

All Questions

What does Black-Scholes Delta ( $\displaystyle \Delta$ ) of a call option represent?

Options

AThe rate of change of option price with respect to time to expiration (Theta).

BThe rate of change of option price with respect to changes in the underlying asset's price.

CThe sensitivity of delta with respect to the underlying asset's price (Gamma).

DThe rate of change of option price with respect to volatility (Vega).

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Correct Answer

✅ Option B — The rate of change of option price with respect to changes in the underlying asset's price.

All Options:

AThe rate of change of option price with respect to time to expiration (Theta).
BThe rate of change of option price with respect to changes in the underlying asset's price. ✓
CThe sensitivity of delta with respect to the underlying asset's price (Gamma).
DThe rate of change of option price with respect to volatility (Vega).

Detailed Solution & Explanation

Correct Answer: Option **B** Explanation: Delta (

\displaystyle \Delta

) measures the sensitivity of the option's theoretical value to a change in the price of the underlying asset:

\Delta = \frac{\partial C}{\partial S} = N(d_1)

For a standard call option, Delta ranges between 0 and 1.

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What does Black-Scholes Delta (Δ\displaystyle \DeltaΔ) of a call option represent?