ExxonMobil shares and a pair of 3‐month options with strike price of $30 are trading at the prices in the table below. Assuming the 3‐month risk‐free interest rate (with continuous compounding) is 10% p.a. There is no arbitrage opportunity in this set of prices. Share price Call premium Put premium $32.00 $3.55 $0.81 True

ExxonMobil shares and a pair of 3‐month options with strike price of $30 are trading at the prices in the table below. Assuming the 3‐month risk‐free interest rate (with continuous compounding) is 10% p.a. There is no arbitrage opportunity in this set of prices. Share price Call premium Put premium $32.00 $3.55 $0.81 True

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

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