Problem 3 (20 Marks)

For each of the following scenarios, find the unknown:

a. Stock Price = $23

Exercise Price = $17

Call Price = $8

Risk free rate = 4.3% per year, compounded continuously

Maturity = 6 months

Put Price = ?

b. Stock Price = $80

Exercise Price = $79

Put Price = $2.40

Risk free rate = 7.8% per year, compounded continuously

Maturity = 8 months

Call Price = ?

c. Exercise Price = $42

Call Price = $4.5

Risk free rate = 5.5% per year, compounded continuously

Maturity = 9 months

Put Price = $12

Stock Price = ?

d. Stock Price = $35

Call Price = $9.90

Put Price = $4.80

Risk free rate = 8.7% per year, compounded continuously

Maturity = 5 months

Exercise Price = ?