Explanation

For a European call option on an asset paying continuous dividends, the delta is given by:

$\Delta_{call} = e^{-qT}N(d_1)$

Where:

• $q$ = continuous dividend yield = 1% = 0.01
• $T$ = time to maturity = 2 years
• $N(d_1)$ = 0.64

Substituting the values:

$\Delta_{call} = e^{-0.01 \times 2} \times 0.64$

First calculate the discount factor: $e^{-0.02} \approx 0.9802$

Then: $\Delta_{call} = 0.9802 \times 0.64 \approx 0.6273$

This is approximately 0.63, but looking at the options, 0.64 is the closest match. The dividend yield adjustment is very small (only 2% over 2 years), so the delta is very close to N(d₁) = 0.64.

Therefore, the correct answer is D. 0.64.