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Calculate the fair value of the call option

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James wants to determine the fair value of a call option with strike price $20 due to expire in 4 years. A put with the same strike price and expiration is worth $5. The risk-free rate is 4%. The Spot Price of the underlying asset is $22.

Problem 1: Using Put - Call Parity, calculate the fair value of the call option? (Assume continuous compounding)

Reference no: EM132965102

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