Question
Good Afternoon! Can you help explain this derivatives finance question? Thank you! A call is worth $6.55, the continuously compounded risk-free rate is 5.6%, the
Good Afternoon!
Can you help explain this derivatives finance question? Thank you!
A call is worth $6.55, the continuously compounded risk-free rate is 5.6%, the futures price is $80, the exercise price is $75, and the expiration is 3 months. Based on these data, the arbitrage-free price of the put should be closest to:
A) $11.48
B) $1.62
C) $0.54
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Derivatives Markets
Authors: Rober L. Macdonald
4th edition
321543084, 978-0321543080
