An American put option on a non-dividend paying stock has an exercise price of $43 and 4 months to expiration. The price of the underlying stock is $36.81 and the risk free rate is 3.4% p.a. What is the critical value of the time value of the option?

Answer rating: 100% (QA)

The critical value of the time value of the option can be calculated using the putcall parity formul... View the full answer