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Illustrate putcall parity today and at option expiry assuming stock prices at expiry (ST) of 200p and 300p. An investor has the following information on
Illustrate putcall parity today and at option expiry assuming stock prices at expiry (ST) of 200p and 300p.
An investor has the following information on American put and call options on a share of a company listed on the London Stock Exchange.
- Call price (c0) = 15p
- Put price (p0) = 18p
- Exercise price (X) = 260p
- Today: 30 May 2022
- Expiry date: 16 December 2022
- Current stock price (S0) = 252p
- Risk-free interest rate (r) = 3.6%
- The company pays no dividends.
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To illustrate putcall parity lets first calculate the intrinsic values of the call and put options a...
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Money Banking And The Financial System International Edition
Authors: R. Glenn Hubbard ,Anthony P Obrien
2nd Edition
129200018X, 978-1292000183
