The DB stock currently sells for 185 kr. A one-year put option with strike price 200 kr has a premium of 30 kr, and the risk free rate is 15%. What is the price of a one-year call option with strike price 200 kr if we assume there are no transaction costs and the market is free of arbitrage?

The DB stock currently sells for 185 kr. A one-year put option with strike price 200 kr has a premium of 30 kr, and the risk free rate is 15%. What is the price of a one-year call option with strike price 200 kr if we assume there are no transaction costs and the market is free of arbitrage?

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Description: The DB stock currently sells for 185 kr. A one-year put option with strike price200 kr has a premium of 30 kr, and the risk free rate is 15%. What is the priceof a one-year call option with strike price 200 kr if we assume there are notransaction cos

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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