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What is the lower bound for the price of a three-month call option on a non-dividendpaying stock when the stock price is $40, the strike
What is the lower bound for the price of a three-month call option on a non-dividendpaying stock when the stock price is $40, the strike price is $39, and the risk-free interest rate is 2% per annum? Is there an arbitrage opportunity if the call is trading currently at a price of $1.35? If the market price for the call is fair, what would be the fair price of a put with the same underlying stock, strike price, and maturity?
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