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

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 call option on Taggart stock is closest to:

A) 0.60.
B) 0.75.
C) 2.84.
D) 3.89.