What must be the value of six month european call option

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Reference no: EM131549530

Currently the index is standing at 1,067. The risk-free rate is 4% per annum and the dividend yield is 1% per annum. A 6-month European put option on the index with a strike price of 1000 is trading at $47.94. What must be the value of a 6-month European call option on the index with the same strike price?

Reference no: EM131549530

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