Question
On May 6, 2021, the spot price for the SPY is $414.31. The price of a call option expiring on June 7, 2021, with strike
On May 6, 2021, the spot price for the SPY is $414.31. The price of a call option expiring on June 7, 2021, with strike 415 is $7.59. The corresponding put option price is $7.44. Refer to the excel spreadsheet with 1000 GBM simulations and address the following questions:
- Refer to the put-call parity and find the implied cost of carry, i.e. r-q
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Risk Management And Financial Institutions
Authors: John C. Hull
3rd Edition
1118269039, 9781118269039
