CFA Level 2
Derivatives

Delta and Gamma Analysis of a European Call Option

Very Hard Option Valuation Greeks

Consider a European call option with a strike price of $50, expiring in 6 months. The current price of the underlying stock is $55, with a volatility of 30%. The risk-free rate is 5% per annum. If the price of the call option is estimated using the Black-Scholes model, which of the following statements about the option's Delta and Gamma is true?

Hint

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