Call option delta for a dividend paying asset

CFA Level II
#1

Hello,

I do not understand how the call option delta for a dividend paying stock would be in the range from 0 to e-(d)T.

“d” above basically represents the continously compounded dividend rate.

What I am asking is why is the maximum delta value on a dividend paying stock e(-d)T?

Thanks,

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#2

I have the same question, can anyone assist?

#3

Sure… but what is the question ?

Ofcourse a dividend paying stock can NEVER have a delta of 1. Between 0 and 1 it can take infinite no. of values especially at the cont dividend paying rate.

Think of it as he delta trying to move to 1 but the dividend is holding it back

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