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Suppose the annualized continuously compounded risk free interest rate is 4% and the price of a 1-year call option with exercise price of $40 is

Suppose the annualized continuously compounded risk free interest rate is 4% and the price of a 1-year call option with exercise price of $40 is $13. The price of 1-year call option with exercise price of $50 is $3. The current stock price is $50. What is the price of a 1-year put option with the exercise price of $40?

a.

$11.57

b.

$1.43

c.

$26.54

d.

$8.57

e.

$40.00

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