Illustrate putcall parity today and at option expiry assuming stock prices at expiry (ST) of 200p and

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Illustrate putcall parity today and at option expiry assuming stock prices at expiry (ST) of 200p and 300p.

An investor has the following information on American put and call options on a share of a company listed on the London Stock Exchange.

Call price (c0) = 15p
Put price (p0) = 18p
Exercise price (X) = 260p
Today: 30 May 2022
Expiry date: 16 December 2022
Current stock price (S0) = 252p
Risk-free interest rate (r) = 3.6%
The company pays no dividends.

Related Book For answer-question

Money Banking And The Financial System International Edition

ISBN: 978-1292000183

2nd Edition

Authors: R. Glenn Hubbard ,Anthony P Obrien

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Posted Date: Mar 29, 2024 11:05 PM

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Illustrate putcall parity today and at option expiry assuming stock prices at expiry (ST) of 200p and

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Money Banking And The Financial System International Edition

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