Question
Consider a put option written on some company's stock. Its expiration is in six months. Its exercise price is $40. This put option is currently
Consider a put option written on some company's stock. Its expiration is in six months. Its exercise price is $40. This put option is currently worth $4.20. The underlying asset, i.e., the shares of stock of this company, can be purchased today for $37 a share. The Treasury bill rate, i.e., risk-free rate, is 3.6 percent per year, compounded continuously. A call option with the same exercise price and the same expiration date as the put option, should cost _____ in today's market. (Do not round intermediate calculations and round your final answer to 2 decimal places, e.g., 32.16.)
Call price:
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