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seen Aug 21 '12 at 15:18

Jun
21
comment Why do some people claim the delta of an ATM call option is 0.5?
thanks got it, so basically at maturity only the delta of ATM call option is equal to 0.5 and not during the life of option.
Jun
21
comment Why do some people claim the delta of an ATM call option is 0.5?
Can someone explain me why [(r+sigma^2/2)*t]/[sigma *sqrt(t)]is equal to zero? I see r and sigma as positive nos , so am I correct in thinking that mathematically a delta of call option is not exactly equal to 0.5?