Question
In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows: Strike Price Call Price Put Price
In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows:
| Strike Price | Call Price | Put Price |
|---|---|---|
| 840 | 87.88 | |
| 860 | 77.13 | 102.85 |
| 880 | 111.12 |
Given an interest rate of 0.36% 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.
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Personal Finance
Authors: Jane King, Mary Carey
2nd Edition
0198748779, 9780198748779
