In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows:
Dec 2017 OEX Index Options
Strike Price Call Price Put Price
840 ........................ 88.00 .........................
860 ........................ 76.30 ................. 102.21
880 ..................................................111.56
Given an interest rate of 0.40% 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?