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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

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. O 0.7677 O 0.4573 0.2454 0.1132

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