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A call option on a stock has elasticity of 3.4. The continuously compounded risk-free rate is 3.3% and the Black-Scholes price volatility of the stock is 0.11. Suppose that the risk premium on the stock is 77% of the stock volatility. Find the expected annual continuously compounded return on the option.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92679966

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