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A zero-dividend stock is priced at 55. In the options market, 6-month at-the-money call options and put options on this stock are priced at 6.81
A zero-dividend stock is priced at 55. In the options market, 6-month at-the-money call options and put options on this stock are priced at 6.81 and 5.45 respectively. The continuously compounded risk-free interest rate is 5%. Larry bought one of these call options and Steve sold one of these put options. At what maturity stock price would Larry earn a profit that is 10 more than Steve's profit?
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