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Definition for a call option which is in the money would be strike price below the market price.
Let's say for a call option deep in the money where Stock = $10 and strike (X) = $5.
Thus the option should be priced close to $5 to prevent arbitrage.
When stock moves up by $1 to $11 the option price should move up by $1 also to bring the total cost of conversion to be ~$11. Thus delta =1 |
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