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

Question 1

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.

Correct Answer:

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