Part A:

An at-the-money 6-month call option has annual volatility of return at 45%. It trades at $215/share now. The continuously-compounded risk-free rate is 1%. What is the delta hedge ratio using the Black-Scholes model?

• A. .44
• B. .57
• C. .34
• D. .17

Part B:

An at-the-money 6-month call option has annual volatility of return at 45%. It trades at $215/share now. The continuously-compounded risk-free rate is 1%. What is the price in $ of one call using the Black-Scholes model?

• A. $25.57
• B. 27.65
• C. 26.58
• D. 28.03