Apple Inc is currently trading at $110/share and has a Beta of 0.87. The expected return to Apple stock is 12%. Apple call options with exactly two months until expiration are trading at $5.50 and $3.47, for strike prices of $110 and $115, respectively. The continuously compounded riskfree rate is 0%.

a. Using a variance estimate of 0.0945, the Black Scholes parameters for the 115 call are: C0=$3.47, d1=-0.2915, d2=-0.4170, N(d1)=0.3854, and N(d2)=0.3384. Black-Scholes parameters for the 110 call are C0=$5.50, d1=0.0628, d2=-0.0628, N(d1)=0.5250, and N(d2)=0.4750. What is the option Delta for each option?

b. Assume shares of Apple increase by $1.00 to $111.00. What is the estimated 115 option premium using the Delta from above?

c. What is the expected return to the 115 Call option with Apple shares trading at $110?

d. What is the Beta of the 115 Call option?