Hi All, Doing the schweser’s practice exam 2. Question18.1 answer said 'The delta of an option will decrease as time passes when there is no change in the price of the underlying asset(the option is out of the money)" However, on the book of John Hull page, Greek Letters section, the delta would be increase instead. Which one is correct? Thanks! Bryan
Think about 0.01 sec before the OTM option expires - delta is 0.
Delta for an option will approach 1 as time decreases if its “in the money” and will apprach 0 if its “out of the money”, this is the effect called Theta.