Question: A call and a put option written on the same stock have the same strike price and time to maturity. At 10:30am on a certain

A call and a put option written on the same stock have the same strike price and time to maturity. At 10:30am on a certain day, the price of the call option is $7.7 and the price of the put option is $1.5. At 10:31 am new information reaches the market that has no effect on the stock price or interest rates, but increases the stock volatility. As a result, the price of the call option changes to $11.55. What would you expect the price of the put option to change to?

a.3.43

b.8.45

c. not enough information

d.5.35

e.3.28

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