For all problems assume $365$ calendar days in a year and $255$ trading days in a year.

Also remember to convert standard deviation of daily returns to annualized returns and use the annualized value as the input for $\backslash$sigma $.$

Time is in number of years so divide the number of days to expiration by $365.$

Stock ABC is trading for $$34.$ The stock has a standard deviation on a daily basis of $2\%.$ The risk free rate on a continuously compounded basis is $2\%.$

a$.$ What is the price of a call that expires in $36$ days and has a strike price of $35?$

b$.$ What is delta of the call option?

$\backslash$table$[[$Price$,34,],[$Strike$,35,],[$Risk free rate,$2\%,],[,$Days$],[$Time$,0\mathrm{.}0986,36],[$Annual$,$Daily$],[$Volatility$,0\mathrm{.}3194,2\%$