$24 Suppose that the price of a stock today is at $25. For a strike price of K = a 3-month European call option on that stock is quoted with a price of $2, and a 3-month European put option on the same stock is quoted at $1.5 Assume that the risk-free rate is 10% 3. per annum. (a) Does the put-call parity hold?

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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Suppose that the price of a stock today is at $25. For a strike price of K = $24
a 3-month European call option on that stock is quoted with a price of $2, and a 3-month
European put option on the same stock is quoted at $1.5 Assume that the risk-free rate is 10%
3.
per annum.
(a) Does the put-call parity hold?
Transcribed Image Text:Suppose that the price of a stock today is at $25. For a strike price of K = $24 a 3-month European call option on that stock is quoted with a price of $2, and a 3-month European put option on the same stock is quoted at $1.5 Assume that the risk-free rate is 10% 3. per annum. (a) Does the put-call parity hold?
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