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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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