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Consider a stock, with a price of $100 and a standard deviation of 0.3. The standard deviation of the stocks returns is 50% per year,
Consider a stock, with a price of $100 and a standard deviation of 0.3. The standard deviation of the stocks returns is 50% per year, and the risk-free rate is 10% per year. A European call and put on this stock have an exercise price of $95 and expire in three month. The stock pays no dividend. Calculate the call option and the put option price and discuss the results
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