Calculate the price of a 60-day european call option

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Calculate the price of a 60-day European call option with a strike price of $40. Assume that put-call parity holds, and that no dividends are paid before expiration. You are given the fact that a 60 day European put option with a strike price of $40 sells for $2.25, and the market value of the underlying asset is $41. The risk-free interest rate is 6.5% per annum compounding continuously. Give your answer to 2 decimal places. Price of the European call option = $

Reference no: EM133076124

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