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Simon Corp shares are currently trading at $30 each. It is expected to increase by 10% or decrease by 6% during the next two-three months.
Simon Corp shares are currently trading at $30 each. It is expected to increase by 10% or decrease by 6% during the next two-three months. If its strike price at maturity in six months is set as $32 and the risk free rate is 8% per annum for all maturities: (a) calculate its call options price and its put option price currently. (b) Test and prove that the put-call parity is holding based on your option pricing. (20 marks)
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