Question
A stock sells for $60 and the risk free rate of interest is 10%. The call and a put on this stock expire in one
A stock sells for $60 and the risk free rate of interest is 10%. The call and a put on this stock expire in one year in both options have an exercise price of $55. How would you trade to create a synthetic call option? If the output sells for $2, how much is the call option worth? (Assume annual compounding.)
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Introduction to Finance Markets, Investments and Financial Management
Authors: Ronald W. Melicher, Edgar A. Norton
16th edition
1119398282, 978-1-119-3211, 1119321115, 978-1119398288
