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

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