Consider a Stock That Is Trading at $50

question 10

Multiple Choice

Consider a stock that is trading at $50.A six-month at-the-money call option on the stock has a price of 3.45 and a delta of 0.60.The stock volatility is 20%,the risk-free rate is 4%,and the beta of the stock is 1.1.What is the beta of the call?

• A)0.66
• B)1.1
• C)9.56
• D)15.94

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