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Consider two corresponding options, consisting of a call and a put with the exact same parameter values. For this pair, the current price of the
Consider two "corresponding" options, consisting of a call and a put with the exact same parameter values. For this pair, the current price of the underlying asset is $84, the options have an exercise price of $80 and they expire in 8 months. Additionally, the risk-free rate is 7% p.a. What is the difference between the premium of the put option, P, and the premium of the call option, C; that is, what is the value of P - C?
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