An investor is analyzing the costs of two-year, European options for aluminum and zinc at a particular
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An investor is analyzing the costs of two-year, European options for aluminum and zinc at a particular strike price.
For each ton of aluminum, the two-year forward price is 1400, a call option costs 700, and a put option costs 550.
For each ton of zinc, the two-year forward price is 1600 and a put option costs 550.
The annual effective risk-free interest rate is 6%. Calculate the cost of a call option per ton of zinc.
(A) 522
(B) 800
(C) 878
(D) 900
(E) 1231
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