XYZ is a stock currently priced at $100 that does not pay a dividend. Assume further that the annual effective interest rate is 4% (i.e., $100 loaned today will return $104 one year from now), and that a 1-year put option with strike price $106 is priced at $8. What is closest to the price of a 1-year call with a strike price of $106?
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