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QUESTION 19 The current price of a stock is $100, the annual risk-free rate is 4%, and a 1-year call option with a strike price

QUESTION 19

The current price of a stock is $100, the annual risk-free rate is 4%, and a 1-year call option with a strike price of $110 sells for $9.0 What is the value of a put option, assuming the same strike price and expiration date as for the call option?

a.

$14.68

b.

$13.71

c.

$12.55

d.

$15.33

e.

$10.12

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