Value of the european call with the same characteristics

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Reference no: EM131560825

An index currently stands at 696 and has a volatility of 30% per annum. The risk-free rate of interest is 7% per annum and the index provides a dividend yield of 4% per annum. Calculate the value of a three-month European put with an exercise price of 700. Please use the put call parity to estimate the value of the European call with the same characteristics.

Reference no: EM131560825

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