Answer: 0.64

## 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**.

Author: LeetQuiz Editorial Team