Solved

As Maturity Approaches, the Delta of an At-The-Money Cash-Or-Nothing Digital $1 / 2$

Question 6

Multiple Choice

As maturity approaches, the delta of an at-the-money cash-or-nothing digital call option

A) Increases.
B) Decreases.
C) Remains constant.
D) Converges to a value of $1 / 2$ .

Related Questions

Q1: An exotic option is<br>A) Any option written

Q2: A three-month at-the-money call option on a

Q3: The gamma of a cash-or-nothing binary call

Q4: You are long a portfolio of vanilla

Q5: A cash-or-nothing call option written on a

Q7: Consider pricing an exchange option on two

Q8: You buy an at-the-money chooser option. Immediately

Q9: Which of the following compound options has

Q10: A chooser option gives the holder the

Q11: A forward-start option may be viewed as