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Suppose the price of a stock is $100 a share. A call option on the stock with three months until expiration date and exercise price

Suppose the price of a stock is $100 a share. A call option on the stock with three months until expiration date and exercise price $107 sells for $1. A put on the stock with the same strike price and expiration date sells for $5.

A. How much would a risk-free zero-coupon bond with maturity 1 month and face value $100 cost?

B. What is the bond equivalent and the effective annual yield of this type of bond?

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