What is the delta of a short position in 3000 European call options on silver futures? The
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Question:
What is the delta of a short position in 3000 European call options on silver futures? The options mature in eight months, and the futures contract underlying the option matures in nine months. The current nine-month futures price is $7 per ounce, the exercise price of the options is $7, the risk-free interest rate is 10 percent per annum, and the volatility of silver is 25 percent per annum.
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