Re: Option\'s delta
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.
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