Call position in european vanilla option have negative delta

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1. Please provide detail explanation.

i. When valuing European Vanilla Options in the Black-Scholes-Merton Model, there is one source of uncertainty. What is this uncertainty?

ii. Why does a short call position in a European vanilla option have negative delta (?)?

2. The current price of a non-dividend paying asset is $65, the riskless interest rate is 5% p.a. continuously compounded, and the option maturity is five years. What is the lower boundary for the value of a European vanilla put option with strike price of $80?

Reference no: EM132065186

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