Question
a)State the Put-Call Parity. b)Suppose the interest rate is r=.05 per year compounded continuously and the current value of an asset, S, is $100. c)Suppose
a)State the Put-Call Parity.
b)Suppose the interest rate is r=.05 per year compounded continuously and the current value of an asset, S, is $100.
c)Suppose P_100 costs $5 with expiration date 1 year from now. How much is C_100?
d)Suppose C_100 costs $6 with expiration date 1 year from now. How much is P_100?
e)What is the lower bound for C_100?
f)Compute C_105P_105, 15 months from now.
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Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta
10th Canadian edition
1259261018, 1259261015, 978-1259024979
