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On December 20, 2011, stock in Kraft Foods was selling at 36.83. (a) Use the Black–Scholes…

On December 20, 2011, stock in Kraft Foods was selling at 36.83. (a) Use the Black–Scholes formula to compute the value of a March 12 call (t = 0.227 years) with strike 33, assuming an interest rate of r = 0.01 and the volatility σ = 0.15. The volatility here has been chosen to make the price consistent with the bid-ask spread of (3.9,4.0). (b) Is the price of 0.4 for a put with strike 33 consistent with put-call parity?