Question
The prices of European call and put options on a non-dividend-paying stock with 12 months to maturity, a strike price of $120, and an expiration
The prices of European call and put options on a non-dividend-paying stock with 12 months to maturity, a strike price of $120, and an expiration date in 12 months are $25 and $5, respectively. The current stock price is $135. What is the implied risk-free rate?
Please explain your answer.
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Handbook Of Financial Risk Management
Authors: Thierry Roncalli
1st Edition
1138501875, 978-1138501874
