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Problem 2 ( 2 5 Marks ) What are the prices of a call option and a put option with the following characteristics? Stock Price

Problem 2(25 Marks)
What are the prices of a call option and a put option with the following characteristics?
Stock Price = $96
Exercise Price = $78
Risk free rate =22% per year, compounded continuously
Maturity =7 months
Standard Deviation =46%

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