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ABC stock is worth $130 today. A call option on ABC stock with a strike price of $150 and an expiration date 6 months from
ABC stock is worth $130 today. A call option on ABC stock with a strike price of $150 and an expiration date 6 months from now is worth $50 today. The risk-free rate of return is 3.5%, and the stock pays no dividends. According to put-call parity, a put option on ABC stock with a strike price of $150 and an expiration date 6 months from should be worth ____ today? (Use continuous compounding interest rate)
a) $66.11 b) $67.03 c) $67.40 d) $77.22 e) None of the above
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