Currently the index is standing at 1,098. The risk-free rate is 4%

QUESTION

 Currently the index is standing at 1,098. The risk-free rate is 4% per annum and the dividend yield is 1% per annum. A 6-month European put option on the index with a strike price of 1000 is trading at $31.07. What is the value of a 6-month European call option on the index with the same strike price? 

ANSWER

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