Consider the following data: • Price of stock now - P-900 . Standard deviation of continuously compounded annual returns -0.25784 .Years to maturity = t = 0.5 . Interest rate per annum=r=0.5% for 6 months (1% per annum) Beta of the stock = 1.5 • Risk-free loan beta=0 a-1. Calculate the risk (beta) of a six-month call option with an exercise price of $900. (Do not round intermediate calculations. Round your answer to 2 decimal places.) a-2. Calculate the risk (beta) of a six-month call option with an exercise price of $750. (Do not round intermediate calculations. Round your answer to 2 decimal places.) a-3. Does the risk rise or fall as the exercise price is reduced? b-1. Now calculate the risk of a one-year call with an exercise price of $750. (Do not round intermediate calculations. Round your answer to 2 decimal places.) b-1. Does the risk rise or fall as the maturity of the option lengthens? a-1. Risk of call option a-2. Risk of call option a-3. Option risk b-1. Risk of call option b-2. Option risk 10.95

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