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What is the delta on a $20 strike call? Assume S = $22.00, = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend

What is the delta on a $20 strike call? Assume S = $22.00, = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend and the option expires in 80 days? A) 0.790 B) 0.820

C) 0.850

D) 0.880

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