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Suppose a firm offers an equity-linked security.The face value is $1 million and its payoff is based on any appreciation in an equity index currently

Suppose a firm offers an equity-linked security.The face value is $1 million and its payoff is based on any appreciation in an equity index currently at 855.50.It has determined that of the $1 million raised, it can structure the option component so that its value is $135,000.Currently an at-the-money call option is worth $125.What percentage of the gain in the index can it offer?

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