試題詳解

4. (5%) Consider a cash-or-nothing call option which pays the option holder an amount K at the maturity T only if the asset price at T is larger than K. The pricing formula for this option is as follows.
and S is the current asset price, r is a constant risk-free interest rate, σ is the volatility of the asset price, and N(●) is the cumulative distribution function of the standard normal distribution defined as

 Derive the Delta (i.e., ) of this option,.
(A)
(B)
(C) 0
(D) None of the above