Suppose that a 6-month European call option, with a strike price of K = $85, has dividend with rate 10% per annum. The futures price for a 6-month contract is worth $75 and the risk-free rate r = premium of $2.75. The underlying asset pays a continuous %D 5% per annum compounded continuously. Find the price of a 6-month European put option written on the same underlying asset and with the same strike price.

Suppose that a 6-month European call option, with a strike price of K = $85, has dividend with rate 10% per annum. The futures price for a 6-month contract is worth $75 and the risk-free rate r = premium of $2.75. The underlying asset pays a continuous %D 5% per annum compounded continuously. Find the price of a 6-month European put option written on the same underlying asset and with the same strike price.

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter5: Currency Derivatives

Section: Chapter Questions

Problem 27QA

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