Assume that a stock trading for $$30$ today will be

worth either $$25$ or $$35$ in two years. A risk$-$free

asset offers an annualized $3\%$ return $($continuously

compounded$)$ over that time period.

What is the hedge ratio $($delta$)$ of a two$-$year call

option on this stock with a strike price of $$25?$

The maximum error is $0\mathrm{.}1.$

a$.0\mathrm{.}8$

b$.$ None of these answers

c$.,0\mathrm{.}6$

d$.1\mathrm{.}3$

e$.1\mathrm{.}0$