Question
A European call option on an asset currently worth $100 in the spot market has a strike price of $110 and has five months left
A European call option on an asset currently worth $100 in the spot market has a strike price of $110 and has five months left to expire. If the continuously compounded annual risk-free rate is 12% across all maturities and the call option is currently priced at $2.15 on the options market.
Required:
what should be the price of a European put option on the same asset and the same strike price? Expiration date?
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Multinational Finance Evaluating Opportunities Costs and Risks of Operations
Authors: Kirt C. Butler
5th edition
1118270126, 978-1118285169, 1118285166, 978-1-119-2034, 978-1118270127
