Question
A stock is currently selling for AUD 62 per share. A put option with an exercise price of AUD 65 sells for AUD 7.70 and
A stock is currently selling for AUD 62 per share. A put option with an exercise price of AUD 65 sells for AUD 7.70 and expires in 3 months. If the riskfree rate of interest is 2.6% per year, compounded continuously, what is the price of a call option with the same exercise price?
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
23rd Edition
1647084105, 978-1647084103
