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Questions
IFEPIA7022_001_2025_3 - Economics of Finance EOF Final - Dec 16, 2025
Single choice
When you performed the homework assignment, how did you compute the delta?
Options
A.Enter the AMZN price and the call price. The delta = % change in the call price vs. the previous day divided by % change in the stock price vs. the previous day. If the stock price did not change, use the previous calculated delta.
B.Enter the AMZN price and the call price and solve for the implied volatility. Then take the derivative of the Black-Scholes call price with respect to the stock price.
C.Enter the AMZN price and compute the standard deviation of the logarithm of the stock price. Then insert this into the Black-Scholes. Then take the derivative of the Black-Scholes call price with respect to the stock price.
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Standard Answer
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Approach Analysis
The question asks about how delta was computed for a homework assignment.
Option 1: 'Enter the AMZN price and the call price. The delta = % change in the call price vs. the previous day divided by % change in the stock price vs. the previous day. If the stock price did not change, use the previous calculated delta.' This describes a finite-difference approach to approximate delta by comparing changes in the option price to changes in the underlying price, including a rule for when the underlying price ......Login to view full explanationLog in for full answers
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