Consider a European call option and a European put option on a nondividend-paying stock. You are given

Question:

(i) The current price of the stock is 60.

(ii) The call option currently sells for 0.15 more than the put option.

(iii) Both the call option and put option will expire in 4 years.

(iv) Both the call option and put option have a strike price of 70.

Calculate the continuously compounded risk-free interest rate.

(A) 0.039

(B) 0.049

(D) 0.069

(E) 0.079

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Dec 02, 2023 03:23 AM

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Consider a European call option and a European put option on a nondividend-paying stock. You are given

Question:

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Derivative Pricing

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