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Information for parts (i) to (vii) - Suppose the current market price of a European call option, c 0, is $3.00. The option has six

Information for parts (i) to (vii) - Suppose the current market price of a European call option,c0, is $3.00. The option has six months to maturity and the strike price,X, is $35. The current price of the underlying stock,S0, which does not pay dividends, is $34. The continuously compounded risk free rate,r, is 6% per annum and the stock volatility,

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