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On January 1, 2015, a company issues a two-year $1,000 bond, with a 6.25% annual coupon rate and coupons paid semi-annually. How much would a

On January 1, 2015, a company issues a two-year $1,000 bond, with a 6.25% annual coupon rate and coupons paid semi-annually. How much would a six-month European call on this bond cost, if the call were purchased on February 1, 2016 with a strike price of $990.00? For simplicity, assume all months have 30 days. Available data on February 1, 2016: ?? Annually-effective risk-free rate is 3.21% ?? Market price of this bond is $987.13 ?? Corresponding put costs $19.60

A. $1.41

B. $1.74

C. $2.32

D. $3.04

E. $4.46

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