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10.11. A four-month European call option on a dividend-paying stock is currently selling for 0, and a dividend of $0.80 is expected in $5. The

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10.11. A four-month European call option on a dividend-paying stock is currently selling for 0, and a dividend of $0.80 is expected in $5. The stock price is $64, the strike price is S one month. The risk-free interest rate is 12% per annum for all maturities. opportunities are there for an arbitrageur? 6

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