Question 11 (10 points) A stock is selling for $20 and the 3 month call option on the stock has exercise price of $20 The continuous risk free rate is 6.4% and the variance of stock returns is 16%. If the stock price rises from $20 to $22, what is delta for this stock? 1) 0.337 2) 0.418 3) 0.547 4) 0.662 5) 0.751