Question
Given the following parameters. 100 Stock price 100 Strike price 5% Risk-free rate 0% Dividend yield 1 Time to maturity (Years) 10.45 Price of a
Given the following parameters.
100 Stock price
100 Strike price
5% Risk-free rate
0% Dividend yield
1 Time to maturity (Years)
10.45 Price of a call option
a. What is the value of a put option with the same strike and time to maturity?
b. What is the delta of a portfolio that is long 1 call and short 1 put with the same parameters given above
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Financial Management Of Financial Institutions
Authors: George H Hempel
1st Edition
0133159604, 9780133159608
