Consider a Stock That Is Trading at $50, Has a Volatility

question 1

Multiple Choice

Consider a stock that is trading at $50, has a volatility of 0.5, and pays no dividends. The risk-free rate is 4%. If the beta of the stock is 1.1, what is the beta of a 52-strike, one-year call option on this stock?

• A) 0.55
• B) 1.1
• C) 3.3
• D) 4.4

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