In mid-July 2018, European-style options on the S&P 100 index (OEX) expiring in December 2019 were priced

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In mid-July 2018, European-style options on the S&P 100 index (OEX) expiring in December 2019 were priced as follows:

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Given an interest rate of 0.38% for a December 2019 maturity (17 months in the future), use put-call parity (with dividends) to determine:

a. The price of a December 2019 OEX put option with a strike price of 840.

b. The price of a December 2019 OEX call option with a strike price of 880.

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Corporate Finance

ISBN: 9781292446318

6th Global Edition

Authors: Jonathan Berk, Peter DeMarzo

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Question Posted: Apr 04, 2024 04:00 AM

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In mid-July 2018, European-style options on the S&P 100 index (OEX) expiring in December 2019 were priced

Question:

Dec 2019 OEX Index Options Strike Price Call Price Put Price $840 $87.58 860 76.39 $102.41 880 112.05

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Corporate Finance

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