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ATM call/put 的 delta

What is the Delta

专题
Finance / 金融
难度
L4

题目详情

What is the Delta of an at- the- money call? What is the Delta of an at- the- money put?

解析

平值附近通常 d1≈0d_1\approx 0，因此

Δcall=N(d1)≈0.5,Δput=N(d1)−1≈−0.5.\boxed{\Delta_{\text{call}}=N(d_1)\approx 0.5},\qquad \boxed{\Delta_{\text{put}}=N(d_1)-1\approx -0.5}.