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PRMIA Exam 8002 Topic 1 Question 47 Discussion

Actual exam question for PRMIA's Mathematical Foundations of Risk Measurement :II exam
Question #: 47
Topic #: 1
[All Mathematical Foundations of Risk Measurement :II Questions]

An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101. Approximate the value of the option delta using a first order central finite difference.

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Suggested Answer: D

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