Question
A European option to buy Koch Ltd shares for $8.50 in exactly three months is priced at 48c. The next dividend of 50c will be
A European option to buy Koch Ltd shares for $8.50 in exactly three months is priced at 48c. The next dividend of 50c will be paid in six months, and Koch's shares are currently trading for $8.70. If interest rates are 10% p.a compounded quarterly, what is the no-arbitrage price of an option to sell Koch's shares for $8.50 in three months?
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Personal Finance
Authors: Jack R. Kapoor, Les R. Dlabay, Robert J. Hughes, Melissa Hart
12th edition
1259720683, 978-1259720680
