The price of a non-dividend paying stock is $15 and the price of a six-month European...
The price of a non-dividend paying stock is $15 and the price of a six-month European call option on the stock with a strike price of $22 is $2. The risk-free rate is 5% per annum. What is the price of a six-month European put option with a strike price of $22?
Homework Answers
| As per put call parity | ||||||
| Call price + PV of exercise price = Spot price + Put price | ||||||
| 2+22*e^(-0.05*0.5)=15+Put value | ||||||
| Put value = 8.4568 |
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The price of a non-dividend paying stock is $15 and the price of
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