Question: Suppose that the spread between the yield on a three-year riskless zero-coupon bond and a three-year zero-coupon bond issued by a bank is 210 basis

Suppose that the spread between the yield on a three-year riskless zero-coupon bond and a three-year zero-coupon bond issued by a bank is 210 basis points. The Black-Scholes–Merton price of an option is $4.10. How much should you be prepared to pay for it if you buy it from a bank?

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