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Suppose the annualized continuously compounded risk free interest rate is 4% and the price of a 1-year call option with exercise price of $40 is
Suppose the annualized continuously compounded risk free interest rate is 4% and the price of a 1-year call option with exercise price of $40 is $13. The price of 1-year call option with exercise price of $50 is $3. The current stock price is $50. What is the price of a 1-year put option with the exercise price of $40?
a. | $11.57 | |
b. | $1.43 | |
c. | $26.54 | |
d. | $8.57 | |
e. | $40.00 |
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