Computing the price of a call

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Reference no: EM1373064

A.) Using the Black-Scholes-Merton model, compute the price of a call and put given a market price of underlying stock of $83, exercise price of $85, 65 days to expiration, a risk-free rate of 4.5 percent, and the historical annual standard deviation of 30 percent.

B.) Does an arbitrage opportunity exist and what is it?

Reference no: EM1373064

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