Question: Assume the Black-Scholes framework. You are given: (i) The current stock price is 82. (ii) The stocks volatility is 30%. (iii) The stock pays dividends

Assume the Black-Scholes framework. You are given:
(i) The current stock price is 82.
(ii) The stock’s volatility is 30%.
(iii) The stock pays dividends continuously at a rate proportional to its price. The dividend
yield is 3%.
(iv) The continuously compounded risk-free interest rate is 8%.
Calculate the elasticity of a 3-month 80-strike European call option.

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