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Consider two European calls that are identical in all aspects except one matures in one month and the other in two months. The risk -

Consider two European calls that are identical in all aspects except one matures in one month and the other in two months. The risk

-

free rate is

1 %

per year and the volatility of the underlying stock price is

20 %

per year. Can you conclude that one or the other call is more expensive? Briefly explain your answer.

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