Question
A call and a put option written on the same stock have the same strike price and time to maturity. At 10:30am on a certain
A call and a put option written on the same stock have the same strike price and time to maturity. At 10:30am on a certain day, the price of the call option is $7.7 and the price of the put option is $1.5. At 10:31am new information reaches the market that has no effect on the stock price or interest rates, but increases the stock volatility. As a result, the price of the call option changes to $11.55. What would you expect the price of the put option to change to?
a.
3.43
b.
3.28
c.
8.45
d.
There is not enough information to answer this question
e.
5.35
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started