28. Option risk (S22-3) In Section 22-1, we used a simple one-step model to value two Amazon...
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28. Option risk (S22-3) In Section 22-1, we used a simple one-step model to value two Amazon options each with an exercise price of $1,830. We showed that the call option could be replicated by borrowing $815.51 and investing $998.18 in 0.54545 shares of Amazon stock. The put option could be replicated by selling short $693.18 of Amazon stock and lending $988.18.
a. If the beta of Amazon stock is 1.5, what is the beta of the call according to the one-step model?
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Principles Of Corporate Finance
ISBN: 9781264080946
14th Edition
Authors: Richard Brealey, Stewart Myers, Franklin Allen, Alex Edmans
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