Question: The annual interest rate on consecutive compounding is 5%. I'm going to create a Principally Protected Note that is worth $1,000 It uses one-year zero-ticket

The annual interest rate on consecutive compounding is 5%.

I'm going to create a Principally Protected Note that is worth $1,000

It uses one-year zero-ticket bonds and one-year call options to which the presented interest rate is applied.

What is the price of the call option used in this strategy?

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