You are given: (i) The current price of a 100-strike 9-month European put option is 12. (ii)
Question:
You are given:
(i) The current price of a 100-strike 9-month European put option is 12.
(ii) A 9-month forward has a forward price of 105.
(iii) The continuously compounded risk-free interest rate is 3%.
Calculate the stock price after 9 months such that the long put option and the short forward contract have the same profit.
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