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A Call Option Has a Price of $2 0 0

Question 27

Multiple Choice

A call option has a price of $2.50 with exercise price of $14.00 and underlying asset price of $15.00.If the time to maturity is 60 days and the risk-free return is 7% p.a. ,what is the pricing bounds error?


A) 0 0
B) 0.50 0.50
C) 0.66 0.66
D) 1.16 1.16

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