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Assume a continuous rate r = 1.2% and an index trading at S = $1128. What strike guarantees that a 6-month call and a 6-month
Assume a continuous rate r = 1.2% and an index trading at S = $1128. What strike guarantees that a 6-month call and a 6-month put have the same premium?
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International Finance
Authors: Keith Pilbeam
2nd Edition
0333730976, 978-0333730973
