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Suppose a $60 Strike Call Has 45 Days Until Expiration

Question 4

Multiple Choice

Suppose a $60 strike call has 45 days until expiration and pays a 1.5% continuous dividend.Assume S = $58.50,σ = 0.25,and r = 0.06.What is the option elasticity given an immediate price increase of $1.50?


A) 24.61
B) 18.61
C) 14.61
D) 9.61

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