What is the put delta

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Consider a 6-month European put on GOOG with a strike price of $650. GOOG spot price is $725 and its volatility is 25%. The stock is not expected to pay any dividend. The risk-free rate is 4%.

(a) Use Black-Scholes-Merton (BSM) model to price this put option.

(b) What is the put delta? If an investor with a short position decides to delta hedge, what would the net cash flow be?

 

(c) Without using BSM model, what are the 6-month 650-strike straddle price and its delta?

Reference no: EM13928281

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