Suppose a $60 strike call has 45 days until expiration and pays a 1.5% continuous dividend. Assume S = $58.50, ? = 0.25, and r = 0.06. What is the option elasticity given an immediate price increase of $1.50?
A) 24.61
B) 18.61
C) 14.61
D) 9.61
B
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