An option has value 10 when the underlying price is 99 and value 9.

PRMIA 8007 Question Answer

An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101. Approximate the value of the option delta using a first order central finite difference.

-4

0.25

-0.5

-0.25

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An option has value 10 when the underlying price is 99 and value 9.

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