Question
Problem 10.7. The price of a non-dividend paying stock is $19 and the price of a three-month European call option on the stock with a
Problem 10.7.
The price of a non-dividend paying stock is $19 and the price of a three-month European call option on the stock with a strike price of $20 is $1. The risk-free rate is 4% per annum. What is the price of a three-month European put option with a strike price of $20? To solve this problem please use put-call parity:
c+Ke-rT=p+S0
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Public Finance
Authors: Richard W. Tresch
4th Edition
0128228644, 978-0128228647
