A stock is currently selling for $61.5 per share. A Europcan call option with an strike price of $65 sells for $5.62 and expires in 3 months. If the risk-free rate of interest is 2.6% per year, compounded continuously, what is the price of a European put option with the same strike price and same expiry time.

A stock is currently selling for $61.5 per share. A Europcan call option with an strike price of $65 sells for $5.62 and expires in 3 months. If the risk-free rate of interest is 2.6% per year, compounded continuously, what is the price of a European put option with the same strike price and same expiry time.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section: Chapter Questions

Problem 1P

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