Question
A client wants to purchase a 1yr European put option on XYZ with a strike price = $75. Another dealer is willing to write a
A client wants to purchase a 1yr European put option on XYZ with a strike price = $75. Another dealer is willing to write a 1yr European call option on XYZ with K = $75 and sell you the option for $11 per share. XYZ pays no dividend and is currently trading at $81 per share. If the risk free rate is 5%, how much should you charge for the put option?
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Municipal Finances A Handbook For Local Governments
Authors: Catherine D. Farvacque-Vitkovic, Mihaly Kopanyi
1st Edition
