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The Delta of a Up-And-Out Call Option with Barrier HH Lying Above the Strike

Question 21

Multiple Choice

The delta of a up-and-out call option with barrier HH lying above the strike KK is most likely to be negative when


A) The underlying stock price SS
Is at or near
KK
)
B) The underlying stock price SS
Is close to and less than
HH
)
C) The underlying stock price SS
Is well below
KK
)
D) The delta of a call cannot be negative.

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