Question
A call is worth $9, the continuously compounded risk-free rate is 5%, the futures price is $95, the exercise price is $100, and the expiration
A call is worth $9, the continuously compounded risk-free rate is 5%, the futures price is $95, the exercise price is $100, and the expiration is 9 months. Based on these data, the arbitrage-free price of the put is closest to:
Group of answer choices
$4.18
$5.78
$13.82
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Public Finance In Canada
Authors: Harvey S. Rosen, Ted Gayer, Jean-Francois Wen, Tracy Snoddon
5th Canadian Edition
1259030776, 978-1259030772
