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The no arbitrage value of a European straddle on a stock when S = K (assume no dividends, no transactions costs); {C is Call, P
The no arbitrage value of a European straddle on a stock when S = K (assume no dividends, no transactions costs); {C is Call, P is Put}
a. should be less than 2C.
b. should be more than 2C.
c. should be equal to 2C.
d. should be less than 2P.
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