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

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