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IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent.

IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the present value of a delta-neutral portfolio?

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