Consider the following data:
Price of stock now = P = 530
Standard deviation of continuously compounded annual returns = σ = .3156
Years to maturity = t = .5
Interest rate per annum = rf = 2.01% (1% for six months)
Beta of the stock = 1.15
Risk-free loan beta = 0
Round answers to 2 decimal places:
1. Calculate the risk (beta) of a six-month call option with an exercise price of $530. Risk of Call Option:
2. Calculate the risk (beta) of a six-month call option with an exercise price of $450. Risk of Call Option:
3. Calculate the risk of a one-year call with an exercise price of $530.