Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6% per year; Continuously compounded variance = 0.2; Expiration = three months. Calculate the value of a European call option.   

Consider the following data for a European option: Expiration = 6 months; Stock price = $80; Exercise price = $75; Call option price = $12; Risk-free rate = 5% per year. Using put-call parity, calculate the price of a put option having the same exercise price and expiration date.

Answer rating: 100% (QA)

To calculate the price of a put option using putcall parity we can use the formul... View the full answer