What is the black-scholes delta of a put if the delta of a


What is the Black-Scholes delta of a put if the delta of a call on the same stock with the same strike price and maturity is +0.6? Assume that the stock does not pay dividends.

a) Equal to 0.4

b) Equal to -0.4

c) Equal to 0.6

d) Equal to -0.6

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Financial Management: What is the black-scholes delta of a put if the delta of a
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