1. 

   Harashima Senju Ton up Member

   I cannot calculate delta. Do we equate delta to phi d1. plugginging in the data in the equation for d1 for call options (Garman-Kohlagen formula) gives me d1 = 0.488095

    

   Harashima Senju, Sep 30, 2016

   #1
2. 

   Steve Hales ActEd Tutor Staff Member

   Hi
   Yes, for a call option we have: \(\Delta_{call}=\Phi(d_1)\). Using the data from the question, \(d_1\) should come out to about 0.845. Maybe it was a calculator mishap?

    

   Steve Hales, Oct 1, 2016

   #2
3. 

   Harashima Senju Ton up Member

   Yes it was, thanks

    

   Harashima Senju, Oct 2, 2016

   #3

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