A European call and a European put on a stock have the same strike price and time to maturity. At 10:00am on a certain day,
A European call and a European 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 $8.8 and the price of the put is $7.5. At 10:01 am news reaches the market that has no effect on the stock price or interest rates, but increases volatilities. As a result, after the market receives the news the price of the call increases by $1. What is the put price after the market receives the news?
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Authors: George H. Pink
6th Edition
1567939651, 978-1567939651
