Question 17.

You have the following information for a three-month Call option. S(0): 150 kr

X: Call: rf: T:

140 kr 12 kr

1% 3 months

(S(0) = Stock price at time 0, X = Strike price, Call = price or a Call option, rf = the risk free rate, T = time to maturity)

1. a) How much is a three month Put option worth with the same strike and underlying asset?

2. b) What would rf have to be for the Put to be worth 2 kr?