Question
Based on the information below, which of the following is the correct value of the no-arbitrage lower bound for European Put Option? Assume no dividend.
Based on the information below, which of the following is the correct value of the no-arbitrage lower bound for European Put Option? Assume no dividend.
| Spot Price (S0) | 390 |
| Strike Price (K) | 450 |
| Risk-free rate (r) | 4% |
| Time-to-maturity (T) | 0.5 (note: T+0.5 means maturity of six months) |
(A) 0
(B) 51.09
(C) 69.09
(D) None of the above
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International Finance Transactions Policy And Regulation
Authors: Hal S. Scott
15th Edition
159941547X, 978-1599415475
