A stock is currently selling for $37 per share. A call option with an exercise price...
A stock is currently selling for $37 per share. A call option with an exercise price of $45 sells for $2.95 and expires in three months.
If the risk-free rate of interest is 5.48 % per year, compounded continuously, what is the price of a put option with the same exercise price?
Homework Answers
| As per put call parity | ||||||
| Call price + PV of exercise price = Spot price + Put price | ||||||
| 2.95+45*e^(-0.0548*0.25)=37+Put value | ||||||
| Put value = 10.34 |
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