A stock is currently selling for $61 per share. A call option with an
QUESTION
A stock is currently selling for $61 per share. A call option with an exercise price of $65 sells for $4.12 and expires in three months. If the risk-free rate of interest is 2.6 percent per year, compounded continuously, what is the price of a put option with the same
exercise price?
A put option that expires in six months with an exercise price of $50 sells for $4.89. The stock is currently priced at $53, and the risk-free rate is 3.6 percent per year,
compounded continuously. What is the price of a call option with the same exercise price?
A put option and a call option with an exercise price of $70 and three months to expiration sell for $2.87 and $4.68, respectively. If the risk-free rate is 4.8 percent per year, compounded continuously, what is the current stock price?
C(t) value of the call option at time t P(t) value of the put option of the same expiration time S(t) Spot price of the underlying asset K- Strike Price B(t,T) present value of zero coupon bond that matures to $1 at time T (a) S(t) = $61 C(t) = $4.12 K= $65 i = 2.6% 4.12 P(t) = 61 65 x (1/(1+2.6%)^0
ANSWER:
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