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Which number is closest to the delta of the option

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Reference no: EM132955524

A call option on a non-dividend-paying stock has a strike price of $100 and a time to maturity of 1 year. The risk-free rate is 0% and the volatility is 20%. The stock price is $100. Which number is closest to the delta of the option?

Reference no: EM132955524

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