Financial Math

Answer choices:

a. 0.25

b. 0.2

c. 0.15

d. none of the above

Assume the Black-Scholes model. Let the current price of a continuous- dividend-paying stock be $80. Its dividend yield is 0.03. Let the continuously compounded, risk-free interest rate be 0.05. Consider a European call on the above stock with a quarter-year to exercise and with the strike price equal to $80e0.01. The current delta of this call option is 0.496264. What is the volatility of the stock? Assume the Black-Scholes model. Let the current price of a continuous- dividend-paying stock be $80. Its dividend yield is 0.03. Let the continuously compounded, risk-free interest rate be 0.05. Consider a European call on the above stock with a quarter-year to exercise and with the strike price equal to $80e0.01. The current delta of this call option is 0.496264. What is the volatility of the stock