Question
The (cc) interest rate is 2.25%. TFS is a non-dividend paying stock trading at So = 25.00. a) At what strike price K would
The (cc) interest rate is 2.25%. TFS is a non-dividend paying stock trading at So = 25.00. a) At what strike price K would the prices of a 11 month European style call and put be equal? b) Is there some strike price at which the put is worth exactly half as much as the call? Give reasons for your answer. (You do not need to compute this strike price, if it even exists.)
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An Introduction to the Mathematics of financial Derivatives
Authors: Salih N. Neftci
2nd Edition
978-0125153928, 9780080478647, 125153929, 978-0123846822
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