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Problem 3: Options (30 marks] (a) Under a certain set of model assumptions, one can derive a closed form solution to the European call option

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Problem 3: Options (30 marks] (a) Under a certain set of model assumptions, one can derive a closed form solution to the European call option price with the underlying asset S, with no dividend: Ct,r(S., K) = 8,0(d) - Ke"(T-1)(da), where (2) = Pr(Z

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