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A call and a put on a stock have the same strike price and time to maturity. At 10:00am on a certain day, the price
A call and a put on a stock have the same strike price and time to maturity. At 10:00am on a certain day, the price of the call is 3 kr and the price of the put is 4 kr. At 10:01am news reaches the market that has no effect on the stock price or interest rates, but increases volatilities. As a result the price of the call changes to 4.50 kr. What would you expect the price of the put to change to?
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