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Question 3 Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $29 and the risk-free fate

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Question 3 Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $29 and the risk-free fate is 5%, the volatility is $25 per annum, and the time to maturity is 4 months. (a) What is the price of the option if it is a European call? (b) What is the price of the option if it is a European put? (c) Verify that the put call parity holds

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