Question
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 |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Global Banking
Authors: Roy C Smith, Ingo Walter, Gayle DeLong
3rd Edition
0195335937, 9780195335934
