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Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $28, the annual interest rate is 5%,
Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $28, the annual interest rate is 5%, the annual volatility is 25%, and the time to maturity is 6 months. What happens to the price of a European call when the exercise price is higher? What about a European put? Verify your answers for the exercise price of $32.
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