Question: Two Stocks, A and B have the same current market prices. The standard deviation of returns for Stock A and Stock B are the same.

Two Stocks, A and B have the same current market prices. The standard deviation of returns for Stock A and Stock B are the same. The expected return of Stock A is mu_A and the expected return of Stock B is mu_B. mu_A > mu_B. The European call options on Stock A and Stock B both have the same expiration and the same strike price. Which of the following is true about the call prices for Stock A, Ca and for Stock B, Cb?

Group of answer choices

Ca > Cb

Ca = Cb

Ca < Cb

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