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Assume a stock has a value of $100. Using at the money call and put options on that stock with 0.5 years to expiration and a constant interest rate of 6 percent, what is the necessary amount that needs to be invested in a zero coupon risk-free bond in order to synthetically replicate the underlying stock. Which of the following is closest to the correct answer? A. $103.00. B. $97.04. C. $100.00. |