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b. A stock is trading at a price of $100 and has beta 0.8. A call option can be replicated by a portfolio consisting of

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b. A stock is trading at a price of $100 and has beta 0.8. A call option can be replicated by a portfolio consisting of 0.7 shares of the stock (this is the delta of the call) and a risk-free loan of $20. What is the beta of the call option? (9 marks)

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