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A three-month European call option with strike $100 is worth $1.03. If the risk-free rate is 0 and the spot is $100. How much is

A three-month European call option with strike $100 is worth $1.03. If the risk-free rate is 0 and the spot is $100. How much is straddle?

		0
		1.03
		2.01
		2.06

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