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A put option and a call option written on the same stock will expire in three months. They both have an exercise price of $45.
A put option and a call option written on the same stock will expire in three months. They both have an exercise price of $45. And they sell for $2.65 and $5.23, respectively. If the underlying stock is currently selling at $47.30, what is the effective annual interest rate? Assume that both options are European options, and that compounding is not continuous.
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