- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility

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**CFA Practice Question**

From the BSM formula, we can obtain a put option's delta as approximately ______.

B. N(d

C. 1- N(d

A. N(d

_{1}) - 1B. N(d

_{2}) - 1C. 1- N(d

_{1})Correct Answer: A

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**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" |