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(1 point) Suppose the A&T index is 790, the continuously compounded risk-free rate is 3 %, and the dividend yield is 0%. A 1-year 807
(1 point) Suppose the A&T index is 790, the continuously compounded risk-free rate is 3 %, and the dividend yield is 0%. A 1-year 807 - strike European call costs $ 75.5 and a 1-year 807 - strike European put cost $ 45.15. Consider the strategy of buying the index, selling the 807 - strike call, and buying the 807-strike put. What is the continuous rate of return on this position held until the expiration of the options %
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