CUMULATIVE NORMAL DISTRIBUTION TABLE

question 48

Multiple Choice

CUMULATIVE NORMAL DISTRIBUTION TABLE
-Refer to the information above. A stock is currently selling for $60. The stock pays no dividends. A call option on the stock has a strike price of $55 and has 3 months to expiration.
The implied volatility is 30%, and the annualized risk-free rate is 3%. What is the option's
Hedge ratio, rounded to the nearest hundredth?

• A)0.55
• B)0.71
• C)0.76
• D)0.70

---

Definitions:

Standard Deviation

An approach to measure the diversity or scattering of figures in a dataset.

Mean

The average of a set of numbers, obtained by dividing the sum of the numbers by the count of numbers.

Normal Random Variable

A random variable that has a normal distribution, often used in statistics and probability theory.

Standard Deviation

A measure of the amount of variation or dispersion in a set of values, indicating how much the values differ from the mean of the set.