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3. Assume a call option has the following characteristics: Price of the stock = $35 Exercise Price of the option = $38 Interest Rate =
3. Assume a call option has the following characteristics:
- Price of the stock = $35
- Exercise Price of the option = $38
- Interest Rate = 8%
- Time until expiration of the option = 3 months
- Volatility of the underlying stock = 0.40
- What is the price of the call option?
- Using put-call parity, what is the price of a put option on this stock?
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