Let us consider the call-put pair with strike price 407 and February maturity. Use the put-call parity formula to compute the price of a zero-coupon bond expiring in February.
Let us consider the call-put pair with strike price 407 and February maturity. Use the put-call parity formula to compute the price of a zero-coupon bond expiring in February.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Let us consider the call-put pair with strike price 407 and February maturity. Use the put-call parity formula to compute the price of a zero-coupon bond expiring in February. Use the data in Table 2. Please show your calculations. Discuss your result.
Transcribed Image Text:You observe the following market for European Call and Put options on the S&P 500 ETF:
Today
10th January 2023
407
Spot index level:
Maturity: 17th February 2023
Strike
403
404
405
406
407
408
409
410
411
Calls
7.06
5.92
4.79
3.66
2.57
2.57
2.63
2.73
2.85
Maturity: 17th March 2023
Calls
8.69
7.40
6.12
4.85
3.58
3.73
3.93
4.16
4.42
Strike
403
404
405
406
407
408
409
410
411
Table 2
Puts
2.21
2.07
1.93
1.81
1.71
2.71
3.77
4.87
5.99
Puts
3.21
2.93
2.64
2.36
2.09
3.23
4.43
5.66
6.92
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