A. Explain what is delta for an option? By considering the Black-Scholes formula for a non-dividend-paying stock,
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Question:
A. Explain what is delta for an option? By considering the Black-Scholes formula for a non-dividend-paying stock, write down the formula for delta of a European call.
(b) What is the trader's interpretation of delta?
(c) For a stock trading near $45.00, the delta of a European call would look similar to those in Figure 1.
What patterns about delta do you see? Explain the intuitions behind the patterns.
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