A Put Option Can Be Replicated by Holding a Position $P = B + \Delta S$

A put option can be replicated by holding a position in stock and bonds,i.e. , $P = B + \Delta S$ where $\Delta$ is the delta of the put option.Comparing the replication formula to the Black-Scholes formula,and assuming no dividends,what can you say about the delta of the option?

A) The delta is equal to the probability that the option will end up in the money.
B) The delta is equal to $N \left( d _ { 1 } \right)$
)
C) The delta is equal to $N \left( - d _ { 1 } \right)$
)
D) The delta is the long position in stock needed to replicate the option.

Correct Answer:

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