question archive What is a lower bound for the price of a 9-month European put option on a non-dividend-paying stock when the stock price is $80, the strike price is $96, and the risk-free interest rate is 8% per annum (continuously compounded)? put option lower bound is ?
What is a lower bound for the price of a 9-month European put option on a non-dividend-paying stock when the stock price is $80, the strike price is $96, and the risk-free interest rate is 8% per annum (continuously compounded)? put option lower bound is ?
Subject:FinancePrice:2.86 Bought15
What is a lower bound for the price of a 9-month European put option on a non-dividend-paying stock when the stock price is $80, the strike price is $96, and the risk-free interest rate is 8% per annum (continuously compounded)?
put option lower bound is ?
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Lower Bound of the put option =
P >= Strike Price * e^(-r*t) - Stock Price
t = 9 / 12 = 0.75
r = 0.08
= 96 * e^(-0.08*0.75) - 80
= 96 * e^(-0.08*0.75) - 80
= (96 * 0.94176453358) - 80
= 90.4093952241 - 80
>= 10.41
