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Consider a Stock That Is Trading at $50

Question 5

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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