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A stock is priced at 62. The continuously compounded annual risk-free interest rate is 6%. A 64-strike 3-month European call option costs 1.80 and a
A stock is priced at 62. The continuously compounded annual risk-free interest rate is 6%. A 64-strike 3-month European call option costs 1.80 and a 67-strike 3-month European call option costs 0.91. At what maturity stock price would the profit of the long 64-strike call be equal to the profit of the short 67-strike call? |
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