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27. The current price of a non-dividend paying stock is $75 and the continuously compounded risk-free rate is 9.98%. If the profit from a 6-month
27.
The current price of a non-dividend paying stock is $75 and the continuously compounded risk-free rate is 9.98%. If the profit from a 6-month straddle is $3.25 when the stock price is $65, what is the price of the call option in the straddle?
a.
$5.30
b.
$4.80
c.
$5.10
d.
$4.90
e.
$5.20
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