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Section B (2 Mark)Consider a one-year maturity call option and a one-year put option on...

Section B (2 Mark)

Consider a one-year maturity call option and a one-year put option on the same stock, both with striking price Rs100. If the risk-free rate is 5%, the stock price is Rs103, and the put sells for Rs7.50, what should be the price of the call?

A.

Rs. 17.50

B.

Rs. 15.26

C.

Rs10.36

D.

Rs. 12.26

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