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5. (a) The stock price is 70 the volatility of the stock is 2296. Assuming that the time to expiration is 3 months and the

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5. (a) The stock price is 70 the volatility of the stock is 2296. Assuming that the time to expiration is 3 months and the interest rate is 2.5% per annum calculate the price P of the European call option with strike 70. (b) Calculate A. I, p, Vega using formulas for these parameters. Calculate the same parameters approximately using the options calculator. (c) Check that following relationship holds 1 0+mA+-o'XT =P 2

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