Question
Consider a protective put, which is a combination of a long stock and a long put on the stock. Here are the put option's parameters.
Consider a protective put, which is a combination of a long stock and a long put on the stock. Here are the put option's parameters.
6.00 = The put's strike price
0.5 = time to expiration, in years.
The stock has the following properties:
6.00 = current stock price
45% = volatility of stock's rate of return
The risk-free rate equals 6%.
What is the premium of the put?
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Financial Markets And Institutions
Authors: Anthony Saunders, Marcia Cornett
7th Edition
1259919714, 978-1259919718
