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A principle-protected note involving a $1000 principal-value zero-coupon bond with an implied continuously-compounded interest rate of 5%. One component of the position is a call
A principle-protected note involving a $1000 principal-value zero-coupon bond with an implied continuously-compounded interest rate of 5%. One component of the position is a call option with a strike price of $40, which was acquired when the stock was selling at $38 per share. If at expiration the stock is selling for $37, what would be the gain from this position in dollars?
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