22.21 a. Use the Black-Scholes model to price a call with the following characteristics: Stock price =

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22.21

a. Use the Black-Scholes model to price a call with the following characteristics:

Stock price = $45 Strike price = $52 Time to expiration = 6 months Stock-price variance = 0.40 Risk-free interest rate = 0.065

b. What does put-call parity imply the price of the corresponding put will be?

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