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Question
If the price of a call option in the market is higher than that derived from the Black-Scholes option pricing model, an investor could:a. Sell the call option and buy a certain number of shares in the underlying stock.
b. Buy the call option and buy a certain number of shares in the underlying stock.
c. Buy the call option and sell short a certain number of shares in the underlying stock.
d. Sell the call option and sell short a certain number of shares in the underlying stock
e. None of the above.
Answer
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