The premium on a call option on the market index with an exercise price of 1050 is $9.30 when originally purchased. After 2 months the position is closed and the index spot price is 1072. If interest rates are 0.5 % per month, what is the Call Profit?
(a) $9.30
(b) $9.39
(c) $12.61
(d) $22.00
Answer: c
Fin 402
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