The Current Stock Price of Alcoa Is $70 and the Stock

question 33

Multiple Choice

The current stock price of Alcoa is $70 and the stock does not pay dividends.The instantaneous risk free rate of return is 6%.The instantaneous standard deviation of Alcoa's stock is 40%.You wish to purchase a call option on this stock with an exercise price of $75 and an expiration date 30 days from now.Based on the Black-Scholes OPM,the call option's delta will be __________.

• A) .28
• B) .31
• C) .62
• D) .70

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