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help confused with this question Adam Smith is a portfolio manager with Point72 Investments, a U.S.-based asset management firm. He is considering using options to

help confused with this question

Adam Smith is a portfolio manager with Point72 Investments, a U.S.-based asset management firm. He is considering using options to enhance portfolio returns and control risk. He asks his junior analyst, John Miller, to help him.

John collected the current market prices and data of selected instruments related to Lotus stock in Table 2.

European call option on Lotus equity

$6

European put option on Lotus equity

$3.0

Lotus equity price

60

Time to expiration of options in months

3

Exercise price of options

60

Risk-free rate

8%

Dividend to be paid in 3 months

$0.00

1.81

0.5

2.3

1.2

3.2

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