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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