Question
EXERCISE #4: Optional: Put-Call Parity: C P = S PV(K), PV(K) = K / (1+r) A-B. The stock is at 50. One-year interest rates are
EXERCISE #4: Optional: Put-Call Parity: C P = S PV(K), PV(K) = K / (1+r) A-B. The stock is at 50. One-year interest rates are at 3%. A. A one-year call struck at 52 trades at $4. What must be the price of a one-year 52 put? $ ...........................................................................
B. A one-year call struck at 50 trades at $5. What must be the price of a one-year 50 put? $ ...........................................................................
C. The stock is at 51. The strike is 55. A one-year call struck at 51 trades at $4. A one-year put struck at 55 trades at 1.38. What must be the interest rate?
...................................................... %
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Digital Finance Big Data Start-ups And The Future Of Financial Services
Authors: Perry Beaumont
1st Edition
0367146797, 978-0367146795
