Multiple Choice
Which of the following statements about the delta is not true?
A) it ranges from zero to one
B) it converges to zero or one at expiration
C) it is given by N(d1) in the Black-Scholes-Merton model
D) it changes slowly near expiration if the option is at-the-money
E) none of the above
Correct Answer:
Verified
Correct Answer:
Verified
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