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Let C0and P0denote the prices of a call and put option on a non-dividend paying stock S. Each option has a strike of K and

Let C0and P0denote the prices of a call and put option on a non-dividend paying stock S. Each option has a strike of K and a maturity of T . The c.c. risk-free rate is r 0. Assume there is no arbitrage. (a) Prove that C00 and C0S0. (b) Prove that P00 and P0K.

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