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Problem 4 (7 points): By using risk-neutral probabilities, find the price of a six-month European call option with a strike $975 on a six-month $1,000
Problem 4 (7 points): By using risk-neutral probabilities, find the price of a six-month European call option with a strike $975 on a six-month $1,000 face zero-coupon bond. Assume (1) = 5.1%, r(.5) = 5%,and r(1) can be either 6% or 4%.
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