Option's delta

Hello there,

Could somebody explain to me how it is possible for my model to calculate a delta of 117 for a particular option? (I contacted the software provider, and they told me that for a short interval (?) an option's delta could exceed 100. I had never heard of that, but upon further questionning on HOW its was possible I wasn't answered in a satisfying way, so I still don't know. Has anyone heard about this ever?

Thanks,

[edtost]

it would be impossible under a standard black-scholes model; my standard reference doesn't have delta calculations for stochastic volatility/jump-diffusion/etc models, so i'll have to do some calculations to see what the delta expressions for those models look like.

my guess is that none of these will allow for d>1 either, and doing so may require a model where price changes are a signal of an upcoming dividend payment or other jump process.

[Sniper]

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Could somebody explain to me how it is possible for my model to calculate a delta of 117 for a particular option?

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Which option are you looking at?

I don't remember the specific situation. I suspect it's actually a bug in the software since they can't offer me a decent explanation. I just wanted to know if anyone had experienced anything similar. Sorry that I can't answer your question.