- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
CFA Practice Question
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)
Correct Answer: A
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" |