Suppose that stock price is $21, the exercise price is $23, the risk-free interest rate is 4% per annum, the price of a three-month European call option is $1.5. What will be the price of three-month European put option on the stock?

Suppose that stock price is $21, the exercise price is $23, the risk-free interest rate is 4% per annum, the price of a three-month European call option is $1.5. What will be the price of three-month European put option on the stock?

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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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.

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6. Suppose that stock price is $21, the exercise price is $23, the risk-free interest rate is 4% per annum, the price of a three-month European call option is $1.5. What will be the price of three-month European put option on the stock?

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