Question
In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows: Given an interest rate of
In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows: Given an interest rate of 0.39% for a December 2017 maturity (22 months in the future), use put-call parity (with dividends) to determine: a. The price of a December 2017 OEX put option with a strike price of 840. b. The price of a December 2017 OEX call option with a strike price of 880. Dec 2017 OEX Index Options Strike Price Call Price Put Price 840 87.59 860 77.08 101.42 880 110.61
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Finance Applications and Theory
Authors: Marcia Cornett, Troy Adair
3rd edition
978-0077861681
