In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced
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In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows:
Dec 2017 OEX Index Options
Strike Price..........Call Price..............Put Price
840 ........................ 88.00 .........................
860 ........................ 76.30 ................. 102.21
880 ..................................................111.56
Given an interest rate of 0.40% for a December 2017 maturity (22 months in the future), use put-call parity (with dividends) to determine:
a. The price of a December 2017 OEX put option with a strike price of 840.
b. The price of a December 2017 OEX call option with a strike price of 880?
Strike PriceIn finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity. Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...
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