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Question
A stock is currently selling for $26.50. A 3-month put option with a strike price of $30 has an option premium of $4.05. The risk-free rate is 2.5 percent and the market rate is 9.75 percent. What is the option premium on a 2-month call with a $30 strike price? Assume the options are European style.A. $0.00
B. $0.33
C. $0.41
D. $0.67
E. $0.73
Answer
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