Answer: 0.63

The delta of a call option with continuous dividend yield is calculated as: $$\text{Delta} = e^{-qT}N(d_1)$$ Given: - N(d₁) = 0.64 - q = 1% = 0.01 - T = 2 years Calculation: $$\text{Delta} = 0.64 \times e^{-0.01 \times 2} = 0.64 \times e^{-0.02} = 0.64 \times 0.9802 \approx 0.63$$ The dividend yield reduces the delta of the call option because dividends decrease the expected future price of the underlying asset.

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