Question
As of mid-February 2016, European-style options on the S&P 100 Index (OEX) due December 2017 were priced as follows: exercise price call price Pricing 840
As of mid-February 2016, European-style options on the S&P 100 Index (OEX) due December 2017 were priced as follows:
| exercise price | call price | Pricing |
|---|---|---|
| 840 | 87.88 | |
| 860 | 77.13 | 102.85 |
| 880 | 111.12 |
Given an interest rate of 0.36% due December 2017 (22 months in the future), use put-call parity (with dividends) to determine:
to. The price of a December 2017 OEX put option with a strike price of 840.
b. The price of a December 2017 OEX call option with a strike price of 880.
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Step: 1
To determine the price of the December 2017 OEX put option with a strike price of 840 using putcall ...
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Corporate Finance
Authors: Jonathan Berk, Peter DeMarzo
4th edition
013408327X, 978-0134083278
