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Question 6. A. What is the price of a call option with a strike of $80 and a maturity of 2.5 years? The underlying asset

Question 6. A. What is the price of a call option with a strike of $80 and a maturity of 2.5 years? The underlying asset is currently trading at $75. The risk-free rate is 2 % and the volatility of the underlying asset is 12 %. [6 marks] B. What is the price of a put option with an identical strike price? [4 marks]

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