Question
The current price of a stock is $ 54.31 and the annual risk-free rate is 4.8 percent. A put option with an exercise price of
The current price of a stock is $ 54.31 and the annual risk-free rate is 4.8 percent. A put option with an exercise price of $55 and one year until expiration has a current value of $ 2.67 . What is the value of a call option written on the stock with the same exercise price and expiration date as the put option? Show your answer to the nearest .01. Do not use $ or , in your answer. Because of the limitations of our LMS random numbers, some of the options may be trading below their intrinsic value or even below $0. If you compute a negative number, be sure to use the - sign. Note, the given interest rate is an effective rate, so for calculation purposes, you need only discount the using the risk free rate, no e x adjustment is needed.
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Mathematical Applications for the Management Life and Social Sciences
Authors: Ronald J. Harshbarger, James J. Reynolds
11th edition
9781337032247, 9781305465183, 1305108043, 1337032247, 1305465180, 978-1305108042
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