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)
Correct Answer:
Verified
Correct Answer:
Verified
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