Consider a digital call option, i.e., one that pays a dollar if at maturity the stock price

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Consider a digital call option, i.e., one that pays a dollar if at maturity the stock price ST is greater than the strike K.

(a) What is the sign of the delta of this option?

(b) When will the delta of this option be the highest?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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Consider a digital call option, i.e., one that pays a dollar if at maturity the stock price

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a As with any call for a digital call also it is the case that higher stock pric...View the full answer

Derivatives Principles And Practice

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