A. The price of Delta Corp. common stock is currently $100 per share. In one year, the stock price will be either $130 or $70. The risk-free rate is 5%. The value of a one-year call option with an exercise price of $100 is: a. $16.67 b. $18.42 c. $30.00 d. $33.33

B. The implied volatility of a call option is the standard deviation of ______________ that is consistent with the option's current market value. a. returns for the call option b. returns for the underlying stock c. T-bill returns d. returns for the corresponding put option

C. A call option that expires in 10 days has a strike price of $20. The underlying stock has a current price of $40 per share. What is the likely value of N(d1) in the Black-Scholes option pricing model? a. Close to 1 b. Negative and close to 0 c. Positive and close to 0 d. Close to 0.5