Question
Stock index option-continuous compounding Stock index = 4500 (So), with dividend yield =4% per annum (q) Risk free rate = 3% per annum (r) 3-month
Stock index option-continuous compounding
Stock index = 4500 (So), with dividend yield =4% per annum (q)
Risk free rate = 3% per annum (r)
3-month (T= 0.25) European call option on the index:
Strike = 4450 (K), call premium = $120 (c)
Find price (p) of a 3-month index put option with strike 4450.
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Personal Financial Planning
Authors: Lewis J. Altfest
2nd edition
1259277186, 978-1259277184
