Finacial Math

Answer choices:

a. 1.15

b. 0.23

c. 6.78

d. none of the above

Assume the Black-Scholes model. Let the current price of a continuous- dividend-paying stock be equal to $80. Its dividend yield is 0.02 and its volatility is 0.20. The continuously compounded, risk-free interest rate is equal to 0.02. Consider a one-year, at-the-money European call option on the above stock. What is the elasticity of that call option at time-o