Use the given information plus the Put Call Parity equation to find the unknown variable (dividend...
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Use the given information plus the Put Call Parity equation to find the unknown variable (dividend rates d and interest rates r are continuously compounded): a) So = 63.49, K = 60, r = 1.75%, d = 0.5%, T = 3 months, CK = 6.38. Find PK = b) So 22.50, K = 21, r= 1.00%, d = 0.00%, CK = 1.74, PK = 0.22. Find T (to the nearest month). c) So = 100, K = 100, r = 4%, CK = 8.82, PK = 7.83, T = 6 months. The stock pays a single dividend D in 3 months time. Find D. Use the given information plus the Put Call Parity equation to find the unknown variable (dividend rates d and interest rates r are continuously compounded): a) So = 63.49, K = 60, r = 1.75%, d = 0.5%, T = 3 months, CK = 6.38. Find PK = b) So 22.50, K = 21, r= 1.00%, d = 0.00%, CK = 1.74, PK = 0.22. Find T (to the nearest month). c) So = 100, K = 100, r = 4%, CK = 8.82, PK = 7.83, T = 6 months. The stock pays a single dividend D in 3 months time. Find D.
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a Given Initial stock price S 6349 Strike price K 60 Annual interest rate r 175 Annual dividend rate ... View the full answer
Related Book For
Statistics The Exploration & Analysis Of Data
ISBN: 9780840058010
7th Edition
Authors: Roxy Peck, Jay L. Devore
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