The Current Stock Price of Alcoco Is $70, and the Stock

question 44

Multiple Choice

The current stock price of Alcoco is $70, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of Alcoco's stock is 40%. You want 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) 0.28
• B) 0.31
• C) 0.62
• D) 0.70

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Definitions:

Dividend Payouts

The portion of a company's earnings that is distributed to shareholders in the form of cash or additional shares.

Accounts Receivable

Outstanding payments from customers to a firm for received goods or services that remain unpaid.

Financial Plan

A comprehensive evaluation of an individual's current pay and future financial state by using current known variables to predict future income, asset values, and withdrawal plans.