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Assume a stock price of $42; a risk-free rate of 3.5 percent per year, compounded continuously; a six-month maturity; and a standard deviation of 64
Assume a stock price of $42; a risk-free rate of 3.5 percent per year, compounded continuously; a six-month maturity; and a standard deviation of 64 percent per year. If a six-month call with an exercise price of $45 is priced at $6.66, what is the price of the six-month $45 put?.
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