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Business, 12.12.2019 01:31 rivman10

The current stock price of alcoa is $70, and the stock does not pay dividends. the instantaneous risk-free rate of return is 6%. the instantaneous standard deviation of alcoa'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. 62
b. 31
c. 28
d. 70

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