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A stock is currently trading at $25.85. It is not expected to pay dividends over the next year. You price a six-month call option on

A stock is currently trading at $25.85. It is not expected to pay dividends over the next year. You price a six-month call option on the stock with a strike of K=15 using the Black-Scholes model and find the following numbers: d1=2.115 d2=1.832 N(d1)=0.983 N(d2)=0.967 Given this information, the delta of the call is

Multiple Choice

0.983

0.967

2.115

1.832

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