Question: Let S = $54, s = 39%, r = 8%, and d = 1.5% (continuously compounded). Compute the Black-Scholes delta ( D) of a $55-strike

  1. Let S = $54, s = 39%, r = 8%, and d = 1.5% (continuously compounded). Compute the Black-Scholes delta ( D) of a $55-strike European call option with 6 months until expiration.

a. 0.5565

b. -0.3948

c. 0.4937

d. -0.4218

e. 0.5707

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