Question
A call option has a strike price of X = $100 and a time to expiration of 9 months. The risk free rate is r
A call option has a strike price of X = $100 and a time to expiration of 9 months. The risk free rate is r = 2.5% and the volatility is sigma = .15. If S = 102.50, the price of a call option is $7.66. Using Put-Call Parity, the price of a put option with X = $100 is,
| a. | $102.50 | |
| b. | $0.00 | |
| c. | $2.50 | |
| d. | $5.66 | |
| e. | #3.30 |
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Codes Of Finance
Authors: Vincent Antonin Lépinay
1st Edition
0691151504, 978-0691151502
