Question
You buy a share of stock, write a one-year call option with X = $24, and buy a one-year put option with X = $24.
You buy a share of stock, write a one-year call option with X = $24, and buy a one-year put option with X = $24. Your net outlay to establish the entire portfolio is $22.60. What must be the risk-free interest rate?
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The Handbook Of European Fixed Income Securities
Authors: Frank J. Fabozzi, Moorad Choudhry
1st Edition
0471430390, 978-0471430391
