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Consider the case of an exchange option in which the underlying stock is Dow Chemical with a current price of $56.00 per share. The strike

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Consider the case of an exchange option in which the underlying stock is Dow Chemical with a current price of $56.00 per share. The strike asset is Merck, with a per share price of $52.00. The risk-free interest rate is 5% (compounded continuously) and the 3-month put option is trading for $7.00. Neither stock is currently paying dividends. What is the price of the call

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