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.