SAP is currently trading at R96.83. The call option exercise price is R100 and will expire in three months. The annualized risk-free rate is 6.75% and Sappi’s daily volatility is 2.00%. Sappi has an annual dividend yield of 2.16%. what is the delta of the Sappi call option?

(Use the Black-Scholes Option Pricing Model)

Answer rating: 100% (QA)

To calculate the delta of the Sappi call option you can use the BlackScholes Option Pricing Model Th... View the full answer