Show that the December 97 T-bond call and put options in Problems 12 and 13 conform to
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Show that the December 97 T-bond call and put options in Problems 12 and 13 conform to the put–call parity model. To show this, assume that the T-bond underlying the option currently is priced at 96, the December expiration is exactly .25 years from the present, and the annual risk-free rate on securities maturing in 90 days is 6.0154%.
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