Let S = K = 100, = 0.25, and T t = 1 month. Create
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Let S = K = 100, σ = 0.25, and T − t = 1 month. Create a spreadsheet to value a call and a put for the following values of r:
(a) R = 0.08.
(b) R = 0.06.
(c) R = 0.04.
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