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The table below provides the premiums for one-year European options on an underlying asset with a current spot price of 170. Strike Price Call Put

The table below provides the premiums for one-year European options on an underlying asset with a current spot price of 170.

Strike Price

Call

Put

150

35.83

7.80

160

29.84

11.28

170

24.60

15.50

180

20.11

20.48

190

16.30

26.13

The continuously compounded risk-free annual rate of interest is 5.5%. Find the cost of a straddle constructed using at-the-money options.

Group of answer choices

42.37

40.10

Please show your work.

9.10

9.10

40.10

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