Question: The table below provides information on five call options on different underlying stocks (none of which pays dividends): Call Option Stock Name Time to maturity

The table below provides information on five call options on different

The table below provides information on five call options on different underlying stocks (none of which pays dividends): Call Option Stock Name Time to maturity (T- t) Strike price (K) Underlying price (St) Call Premium (Ct) a. Alpha 0.5 50 55 $10 b. Beta 0.5 50 55 $7 TIT C. Gamma 0.5 45 55 $7 d. Delta 0.7 50 55 $5 e. Epsilon 0.7 45 55 $5 The risk-free rate is 5%. Which stock is expected to have the highest volatility? Alpha Beta Gamma Delta Epsilon Not enough information given

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