Find the no-arbitrage cost of the european call option, Finance Basics

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Question:

Suppose that a security is presently selling for a price of $65, the nominal interest rate is 8%, and the security volatility is 0.15.

a) Determine Delta of a European call option in 4 months with a strike price of $72.

b) Therefore or otherwise, find the no-arbitrage cost of the European call option.

c) What is the selling price of a European put-option with strike $72?

d) Now consider the market price of the European put-option with strike $72 was $4. Design a strategy for a sure-win situation.


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