Assume the Black Scholes framework Two actuaries, A and B, are computing the prices of a European call and a European put using different parameters You are given Describe the relationship between the call price computed by Actuary A and the put price computed by Actuary B Actuary A B Option Call P...

The call price computed by Actuary A turns out to be identical to the put pri ...

Assume the Black-Scholes framework. Two actuaries, A and B, are computing the prices of a European call

Question:

Assume the Black-Scholes framework. Two actuaries, A and B, are computing the prices of a European call and a European put using different parameters.

You are given:

Actuary A B Option Call Put Underlying Strike Dividend Stock Price Price Yield 5% 3% 190 200 200 190

Describe the relationship between the call price computed by Actuary A and the put price computed by Actuary B.

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Authors: Ambrose Lo

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Question Posted: Dec 07, 2023 06:08 AM

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Assume the Black-Scholes framework. Two actuaries, A and B, are computing the prices of a European call

Question:

Actuary A B Option Call Put Underlying Strike Dividend Stock Price Price Yield 5% 3% 190 200 200 190 Risk-free Stock Interest Rate Volatility 30% 30% 3% 5% Option Maturity 1

Step by Step Answer:

The call price computed by Actuary A turns out to be identical to the put pri...View the full answer

Derivative Pricing

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