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A stock index, currently at 1,305, pays a dividend yield of 4% per annum, continuously compounded The index's return volatility is 35% per annum and
A stock index, currently at 1,305, pays a dividend yield of 4% per annum, continuously compounded The index's return volatility is 35% per annum and the risk-free interest rate is 3% per annum, continuously compounded. If a six-month European put option on the index with a strike price of 1.300 sells for 186, what is the value of a six-month European call option on the same index with the same strike price? Your answer should be accurate to the nearest index point. You should also enter your answer without any currency sign.
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