Question: Let S = $49, s = 40%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $50-strike European

Let S = $49, s = 40%, r = 5.5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes delta (D) of a $50-strike European put option with 3 months until expiration.

	a.	0.4694
	b.	0.5696
	c.	0.6107
	d.	0.5113
	e.	0.4824

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