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6) Consider an option on a non-dividend paying stock when thestock price is $38, the exercise price is $40, the risk-freeinterest rate is 6% per annum, the volatility is 30% per annum, andthe time to maturity is six months. Using Black-Scholes Model,calculating manually, a. What is the price of the option if it is aEuropean call? b. What is the price of the option if it is aEuropean put? c. Show that the put-call parity condition holds (ordoes not hold)?
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