Use the Following Information to Answer the Question(s)below

question 39

Multiple Choice

Use the following information to answer the question(s) below.
(Please use a copy of the Cumulative Probabilities for the standard normal distribution for these problems. )
Taggart Transcontinental's stock has a volatility of 25% and a current stock price of $40 per share.Taggart pays no dividends.The risk-free interest rate is 4%.
-The Black-Scholes Δ of a one-year,at-the-money put option on Taggart stock is closest to:

• A)-0.2850.
• B)0.2850.
• C)-0.3859.
• D)-0.6141.