Stock X pays dividends continuously at a rate proportional to its price. The dividend yield is 2%.

Question:

You are given the following option prices for European puts and calls, all written on stock X and with two years to expiration:

Strike Price 98 100 Put Price 0.4394 0.6975 Call Price 14.3782 12.7575

Calculate the current price of stock X.

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:11 AM

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Stock X pays dividends continuously at a rate proportional to its price. The dividend yield is 2%.

Question:

Strike Price 98 100 Put Price 0.4394 0.6975 Call Price 14.3782 12.7575

Step by Step Answer:

Two applications of putcall parity ...View the full answer

Derivative Pricing

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