Question: 11. Repeat the previous problem, except that for each strike price, compute the expected return on the option for times to expiration of 3 months,

11. Repeat the previous problem, except that for each strike price, compute the expected return on the option for times to expiration of 3 months, 6 months, 1 year, and 2 years.

What effect does time to maturity have on the option’s expected return?

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