A Call Option on a Non-Dividend-Paying Stock Has a Strike

question 16

Multiple Choice

A call option on a non-dividend-paying stock has a strike price of $30 and a time to maturity of six months.The risk-free rate is 4% and the volatility is 25%.The stock price is $28.What is the delta of the option?

• A) N(-0.1342)
• B) N(-0.1888)
• C) N(-0.2034)
• D) N(-0.2241)

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Definitions:

Prepaid Expenses

Expenses paid in advance for goods or services to be received in the future, recognized as assets until used.

Accrued Liabilities

Liabilities for expenses that have been incurred but have not yet been paid or recorded through a standard payment transaction.

Cash Payments

Transactions where payment is made using cash, as opposed to checks, credit cards, or electronic transfers.

Credit Sales

Transactions where the buyer is allowed to pay for goods or services at a later date, extending credit by the seller.