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Assume, US risk-free rate: R (US) F = 1.5% p.a. Canadian risk-free rate: R (CA) F = 2.2% p.a. All interest rates are given with
Assume, US risk-free rate: R (US) F = 1.5% p.a. Canadian risk-free rate: R (CA) F = 2.2% p.a. All interest rates are given with continuous compounding.
The prices of a 6-month European call and a 6-month European put option on a non-dividend-paying stock with stock price $120 are $3.50 and $7.13, respectively. Determine the strike price of the two options assuming it is identical for both.
The prices of a 6-month European call and a 6-month European put option on a non-dividend-paying stock with stock price $120 are $3.50 and $7.13, respectively. Determine the strike price of the two options assuming it is identical for both.
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We can use the putcall parity formula to determine the strike price of the optio...
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
