Question
A stock currently sells for $50. In six months, it will either rise to $55 or decline to $45. The risk-free interest rate is 6%
A stock currently sells for $50. In six months, it will either rise to $55 or decline to $45. The risk-free interest rate is 6% per year.
1.Find the value of a European call option with an exercise price of $50.
2.Find the value of a European put option with an exercise price of $50, using the binomial approach.
3.Verify the put-call parity using the results of Questions 1 and 2.
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Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
10th edition
77861671, 978-0077861674
