DEF Stock has a current price of $52.50, standard deviation of 25%, beta of 1.25, and expected return of 20%.
A DEF Call option has a strike price of $50, 2 months remaining until expiration, N(d1)=0.7293, N(d2)=0.6945, B0=34.45, and a current price of $3.85
The continuously compounded riskfree rate is 5%
a) What is the expected return of the call?
b) What is the standard deviation of the call?