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The price of a 6-month maturity European put option is $2.70. The put strike price is $55. The current stock price is $60. Dividends received

  • The price of a 6-month maturity European put option is $2.70.
  • The put strike price is $55.
  • The current stock price is $60.
  • Dividends received 2 months from today and 8 months from today are projected to be $1.20 and $1.40, respectively.
  • The risk-free rate and are not provided (and hence, you must not make any assumptions regarding the values of these variables).
  • The table below shows the current prices of zero-coupon bonds with different maturities but all are with a face value of $1:

Maturity of zero-coupon bond

Current fair price

2 months

$0.9934

6 months

$0.9802

8 months

$0.9737

Required:

Calculate the fair price of the corresponding 6-month European call stock option with the same strike price.

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