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 = rf = 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.