Question: Consider a stock with 4 2 % yearly volatility and a current price of 4 3 7 . 5 , moreover, the annual risk -

Consider a stock with 42% yearly volatility and a current price of 437.5, moreover, the annual risk-free rate is r=0.0125.
Assume you want to build a portfolio of options containing one call option with strike K1=420, and one put option with strike K2=460, and the maturity of both options is one year.
Compute the European call option price C1.

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