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3. Consider the following information: + $55 Stock Price Exercise Price $ 60 Risk-Free Rate 8% per year Maturity 1 year Standard Deviation 54% per

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3. Consider the following information: + $55 Stock Price Exercise Price $ 60 Risk-Free Rate 8% per year Maturity 1 year Standard Deviation 54% per year a. What is the price of a call option with the above characteristics (Hint: use Black-Scholes)? b. What is the price of a put option with the same strike price? c. If the call option is currently trading at $15, how can you take advantage of the arbitrage opportunity (be explicit about what assets to buy and sell)

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