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Portfolio A consists of 400 shares of stock and 400 calls on that stock. Portfolio B consists of 500 shares of stock. The call delta

Portfolio A consists of 400 shares of stock and 400 calls on that stock. Portfolio B consists of 500 shares of stock. The call delta is 0.5. Which portfolio has a higher dollar exposure to a change in stock price?

A.

Portfolio B if the stock price increases and portfolio A if it decreases

B.

Portfolio A if the stock price increases and portfolio B if it decreases

C.

Portfolio A

D.

The two portfolios have the same exposure.

E.

Portfolio B

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