Use the Following Information to Answer the Question(s)below

question 17

Multiple Choice

Use the following information to answer the question(s) below.
(Please use a copy of the Cumulative Probabilities for the standard normal distribution for these problems. )
Taggart Transcontinental's stock has a volatility of 25% and a current stock price of $40 per share.Taggart pays no dividends.The risk-free interest rate is 4%.
-Assuming the beta on Taggart stock is 0.75,then the beta for a one-year,at-the-money put option on Taggart stock is closest to:

• A)-0.75.
• B)-2.84.
• C)-3.89.
• D)-6.41.

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