Assume That a $60 Strike Call Has a 2

question 13

Multiple Choice

Assume that a $60 strike call has a 2.0% continuous dividend,r = 0.05,and the stock price is $61.00.What is the theta of the option as the expiration time declines from 60 to 50 days?

• A) -0.52
• B) -0.42
• C) -0.32
• D) -0.22

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