A) What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days? B) What is the price of a $25 strike call? Assume S = $23.50, σ = 0.24, r = 0.055, the stock pays a 2.5% continuous dividend and the option expires in 45 days?
A) What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days? B) What is the price of a $25 strike call? Assume S = $23.50, σ = 0.24, r = 0.055, the stock pays a 2.5% continuous dividend and the option expires in 45 days?
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 4P: Put–Call Parity
The current price of a stock is $33, and the annual risk-free rate is 6%. A call...
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A) What is the price of a $60 strike put? Assume S = $63.75, σ = 0.20, r = 0.055, the stock pays no dividend and the option expires in 50 days?
B) What is the price of a $25 strike call? Assume S = $23.50, σ = 0.24, r = 0.055, the stock pays a 2.5% continuous dividend and the option expires in 45 days?
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