Question
The spot USD/euro exchange rate is $1.3 per euro. The continuously compounded euro and USD risk-free rates are 1% and 3% per year, respectively. The
The spot USD/euro exchange rate is $1.3 per euro. The continuously compounded euro and USD risk-free rates are 1% and 3% per year, respectively. The 6-month European call option with strike $1.25 is selling for $0.15. What should be the price of the European put option with the same strike and expiration?
A. $0.0879
B. $0.1131
C. $0.1500
D. $0.1869
E. $0.2121
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes
7th Edition
0072866578, 9780072866575
