Question: Assume the Black-Scholes framework. Consider a call option on a non-dividend paying stock. You are given: i) The strike price is 110% of the stock

Assume the Black-Scholes framework. Consider a call option on a non-dividend paying stock. You are given:

i) The strike price is 110% of the stock price

ii) N(d1)=0.31075

iii) N(d2)=0.25987

Determine the elasticity of the call option.

_________________________

A) 8.8

B) 9.4

C) 10.0

D) 10.6

E) 11.2

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