question archive The price of a European call option that expires in 6 months and has a strike price of $115 is $10
The price of a European call option that expires in 6 months and has a strike price of $115 is $10
Subject:FinancePrice:2.86 Bought14
The price of a European call option that expires in 6 months and has a strike price of $115 is $10.25. The underlying non-dividend-paying stock price is $115. Risk-free interest rates for all maturities are 4% (continuously compounded). What is the price of a European put option on this stock that expires in 6 months and has a strike price of $115?
put option price is ?
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As per Call Put Partiy
Strike Price * e^(-r*t) + Premium on Call Option = Current Value of Stock + Premium on Put Option
where r is the risk free rate of return i.e. 0.04
t is the time period 6/12 = 0.50
115 * e^(-0.04*0.50) + 10.25 = 115 + P
115 * 0.9801986733 + 10.25 = 115 + P
112.72284743 + 10.25 = 115 + P
P = 122.97 - 115
P = 7.97
