In mid-March 2022, European-style options on the S&P 100 index (OEX) expiring in December 2023 were priced

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In mid-March 2022, European-style options on the S&P 100 index (OEX) expiring in December 2023 were priced as follows: image text in transcribed

Given an interest rate of 1.7% for a December 2023 maturity (21 months in the future), use put-call parity (with dividends) to determine:

a. The price of a December 2023 OEX put option with a strike price of 1860.

b. The price of a December 2023 OEX call option with a strike price of 1900.Appendix

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Corporate Finance

ISBN: 9780137845071

6th Edition

Authors: Jonathan Berk, Peter DeMarzo

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Question Posted: Jun 12, 2024 01:15 AM

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In mid-March 2022, European-style options on the S&P 100 index (OEX) expiring in December 2023 were priced

Question:

Dec 2023 OEX Index Options Strike Price Call Price Put Price 1860 241.10 1880 228.60 176.30 1900 183.90

Step by Step Answer:

Corporate Finance

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