Question: A call option is modeled using the Black-Scholes formula with the following parameters. S = 25 K = 24 r = 4%

A call option is modeled using the Black-Scholes formula with the following parameters.

• S = 25

• K = 24

• r = 4%

• δ = 0%

• σ = 20%

• T = 1

Calculate the call option elasticity, Ω.

(A) Less than 5

(B) At least 5, but less than 6

(C) At least 6, but less than 7

(D) At least 7, but less than 8

(E) At least 8

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