delta到底怎么算？公式是什么？

问题如下：

You are given the following information about a European call option: Time to maturity = 2 years; continuous risk-free rate = 4%; continuous dividend yield = 1%; $N{(d_1)}=0.64$ . Calculate the delta of this option.

选项：

A.

  -0.64

B.

  0.36

C.

  0.63

D.

  0.64

解释：

ANSWER: C

This is a call option, so delta must be positive. This is given by $\bigtriangleup\text{=}e^{\text{-}r\ast\tau}N{(d_1)}=e^{-0.01\times2}\times0.64=0.63.$