medium · FRM Part 1
A stock trades at S_0 = $100. A European call struck at K = $100 expires in 1 year. If the volatility is 20% and the risk-free rate is 5%, what is the delta of this call option? (Given d_1 = 0.35 and N(0.35) = 0.637)
- 1.000
- 0.637
- 0.560
- -0.363
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