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A non-dividend paying stock has a current market price of E10 and an annual volatility of 40%. If the continuously compounded risk-free rate is 5%

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A non-dividend paying stock has a current market price of E10 and an annual volatility of 40%. If the continuously compounded risk-free rate is 5% per annum, the Black-Scholes delta of an at-themoney one-year call option is closest to

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