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Calculate the price of the strike European call option

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Reference no: EM132974317

Question - Investor A bought a 40-strike European call option expiring in 1 year on a stock for 5.50. He earned a profit of 6.44 at the end of the year.

Investor B bought a 45-strike European call option expiring in 1 year on the same stock at the same time. He earned a profit of 3.22 at the end of the year.

Suppose the continuously compounded risk-free rate is 2%. Calculate the price of the 45-strike European call option.

Reference no: EM132974317

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