Question
A European put option has 12 months to expiry and a strike price of $22. The underlying stock has a current price of $20. The
A European put option has 12 months to expiry and a strike price of $22. The underlying stock has a current price of $20. The riskfree rate of interest is 4% per annum.
A European call option is written on the same stock. It also has a $22 strike price and 12 months to expiry. The call is priced at $1.93.
What is the price of the put option?
What is the intrinsic value of the put option?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
To calculate the price of the put option we can use the BlackScholes formula The formul...
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Step: 2
Step: 3
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Essentials Of Business Analytics
Authors: Jeffrey Camm, James Cochran, Michael Fry, Jeffrey Ohlmann, David Anderson, Dennis Sweeney, Thomas Williams
1st Edition
128518727X, 978-1337360135, 978-1285187273
