Stock beta is a variables that is included in the Black-Scholes call option pricing formula.

Question

Quizplus · Accepted Answer

The Black-Scholes formula for pricing options primarily includes factors such as the stock price, strike price, time to expiration, risk-free rate, and volatility of the stock, but it does not include the stock's beta. Beta is a measure of a stock's volatility in relation to the overall market, used in other contexts such as the Capital Asset Pricing Model (CAPM), not in the Black-Scholes model.

Stock Beta Is a Variables That Is Included in the Black-Scholes