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A European call and a European put on the same stock have the exact same strike price and the exact same expiration. At 10:00am on
A European call and a European put on the same stock have the exact same strike price and the exact same expiration. At 10:00am on a certain day, the call option premium is $3.25 and the put option premium is $4.25. At 10:01am news reaches the market that no effect on the stock price or on interest rates, but it does increase volatilities. As a result, the call premium increases to $4.00. What is the new put premium (out to two decimal places)?
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