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Stock X pays a $3 dividend in 6 months. A 9-month European put option on Stock X has a premium of $2.30. A 9-month European
Stock X pays a $3 dividend in 6 months. A 9-month European put option on Stock X has a premium of $2.30. A 9-month European call option on Stock X has a premium of $3.26. Both options have a strike price of $28. The continuously compounded risk-free rate of return is 9%. An investor wishes to replicate the purchase of one share of stock. The investor intends to liquidate the position at the end of 9 months. Determine the amount of cash that must be lent at the risk-free rate of return in order to replicate the purchase of one share of the stock. A 23.30 B 26.17 28.08 D 29.04 E 30.00 Stock X pays a $3 dividend in 6 months. A 9-month European put option on Stock X has a premium of $2.30. A 9-month European call option on Stock X has a premium of $3.26. Both options have a strike price of $28. The continuously compounded risk-free rate of return is 9%. An investor wishes to replicate the purchase of one share of stock. The investor intends to liquidate the position at the end of 9 months. Determine the amount of cash that must be lent at the risk-free rate of return in order to replicate the purchase of one share of the stock. A 23.30 B 26.17 28.08 D 29.04 E 30.00
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