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SINDY index is currently at I = 11,057. European options on SINDY have a strike price K = 11,000, a maturity T = 45 days,

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SINDY index is currently at I = 11,057. European options on SINDY have a strike price K = 11,000, a maturity T = 45 days, a dividend yield 8 = 1.5 percent per year, the risk-free interest rate r = 5 percent per year, and the estimated implied volatility o = 16 percent per year. a. Compute the price of a call option using the Merton formula. b. Compute the price of a put option using the appropriate version of put- call parity (see Chapter 16)

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