Suppose that Stock XYZ is currently trading at $100 and does not pay any dividends. There is a European call option written on this stock with a strike of $110 and a maturity of six months. Assume that annual continuously compounded interest rate is 5% and the volatility of the stock is 40% per year. Find the delta of the call option. Question 3 20 pts If the stock price were $0.50 higher in Question 2 above, what is the approximate price for the call option? Do not use Black-Scholes formula. 8.3696 8.1409 8.5982 15.6537