A Stock Is Currently Trading At $S _ { 0 } = 25.85$

question 32

Multiple Choice

A stock is currently trading at $S _ { 0 } = 25.85$ . It is not expected to pay dividends over the next year. You price a six-month call option on the stock with a strike of $K = 15$ using the Black-Scholes model and find the following numbers: $$\begin{array} { r l r l } d _ { 1 } & = 2.115 & d _ { 2 } & = 1.832 \\N \left( d _ { 1 } \right) & = 0.983 & N \left( d _ { 2 } \right) & = 0.967\end{array}$$ Given this information, the delta of the call is

• A) 0.967
• B) 0.983
• C) 1.832
• D) 2.115

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