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Peter has a European call option with an exercise price of $76 and a put option with an exercise price of 44 that both have
Peter has a European call option with an exercise price of $76 and a put option with an exercise price of 44 that both have an exercise date one year from today, he bought the call for $1. All price between 35 and 85 are equally likely one year from now. If the expected profit of his option is $0, for how much did he purchase the put if the interest rate is 5%?
A. $0.54
B. $2.11
C. $3.08
D. $1.40
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