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A stock is currently priced at 73 and it pays continuous dividends at a rate of 3%. The continuously compounded annual risk free interest rate

A stock is currently priced at 73 and it pays continuous dividends at a rate of 3%. The continuously compounded annual risk free interest rate is 5%. A 6-month 70-strike European call option on this stock is priced at 6.03525. In the creation of a synthetic Treasury bill, exactly ONE stock is used. Calculate the amount of the loan that is produced.

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Mathematical Applications for the Management Life and Social Sciences

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