What Is the Delta on a $20 Strike Call? Assume

question 21

Multiple Choice

What is the delta on a $20 strike call? Assume S = $22.00,σ = 0.30,r = 0.05,the stock pays a 1.0% continuous dividend and the option expires in 80 days?

• A) 0.790
• B) 0.820
• C) 0.850
• D) 0.880

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