Delta bound in an arithmetic stock model
= Delta bound in an arithmetic stock model
{title2=$0\leq\Delta=\Phi(d)\leq1$}
= Gaussian call delta bound
{c}
{synonym}
The delta of the <call price in an arithmetic stock model with interest> is the <normal distribution> function at its standardized discounted moneyness. It lies strictly between zero and one before maturity. Its maturity limit is the call payoff derivative away from the strike, an exceptional event of probability zero under the <Gaussian> pricing law.