16. Suppose the beta of a stock is 1.2, and the stock price is S = 40. Let the volatility...
16. Suppose the beta of a stock is 1.2, and the stock price is S = 40. Let the volatility be 
risk-free rate be r = 0.04, and assume no dividends are paid. What is the beta of a call option with maturity 1 year and strike K = 40?
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