The price of a European call that expires in six months and has a strike price of $30 is $2. The underlying stock price is $29, and a dividend of $0.50 is expected in two months and again in five months. Risk-free interest rates (all maturities) are 10% per annum with continuous compounding. What is the price of a European put option that expires in six months, and has a strike price of $30 and the same underlying asset?

The price of a European call that expires in six months and has a strike price of $30 is $2. The underlying stock price is $29, and a dividend of $0.50 is expected in two months and again in five months. Risk-free interest rates (all maturities) are 10% per annum with continuous compounding. What is the price of a European put option that expires in six months, and has a strike price of $30 and the same underlying asset?

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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