Question
A trader sells 100,000 European put options on A2B Australia Limited (A2B.AX) with a maturity of six months, and strike price 1.3500. The current stock
A trader sells 100,000 European put options on A2B Australia Limited (A2B.AX) with a maturity of six months, and strike price 1.3500. The current stock price is 1.3500 per share, interest rate is 3.58% p.a. (continuously compounded), assume stock return volatility is 36% p.a. The trader wants to charge 25% more than the noarbitrage price. How much should the trader charge?
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International Financial Reporting A Practical Guide
Authors: Alan Melville
6th edition
1292200743, 1292200766, 9781292200767, 978-1292200743
