Question: 6. Suppose that the observed spread between the yield on a 3-year zero-coupon riskless bond and the yield on a 3-year zero-coupon bond issued by

6. Suppose that the observed spread between the yield on a 3-year zero-coupon riskless bond and the yield on a 3-year zero-coupon bond issued by a corporation is 1.55%. By how much (as a percentage) would the Black-Scholes-Merton model overstate the value of a 3-year European option sold by the corporation?

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