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Consider an at-the-money European call option on a non-dividend-paying stock that expires in 0.5 years. The annual standard deviation of the rate of return on

Consider an at-the-money European call option on a non-dividend-paying stock that expires in 0.5 years. The annual standard deviation of the rate of return on the stock is 50% and the risk-free rate is 3% (continuously compounded).

1) What is the call's delta?

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