Answered step by step
Verified Expert Solution
Question
1 Approved Answer
At 15:00 on February 3, 2020, the CSI 300 stock price index is 3688.36, the CSI 300 stock index futures price expiring in February 2020
At 15:00 on February 3, 2020, the CSI 300 stock price index is 3688.36, the CSI 300 stock index futures price expiring in February 2020 is 3591.20, and the CSI 300 stock index call and put options with a strike price of 3600 expiring in February 2020 are priced at $106.20 and $133,.00, respectively. Assume that the continuously compounded risk-free interest rate is 3% per annum and the annualized dividend rate of the CSI 300 stock index is 1%. Compare the difference in intrinsic value, parity point of the option using spot price and futures price? Also, compare the performance of the PCP parity expressed in terms of spot price and futures price.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started