uppose the price of a non-dividend paying stock is $50. There exist European call and put options
Fantastic news! We've Found the answer you've been seeking!
Question:
- uppose the price of a non-dividend paying stock is $50. There exist European call and put options on the stock with one year to maturity and the strike price $50. The call is worth $4.5 and the put is worth of $4. The simple risk-free interest rate is 4% per annum. What is the implied interest rate for the synthetic bond based on put-call parity?
- Suppose the price of a non-dividend paying stock is $50. There exist European call and put options on the stock with one year to maturity and the strike price $50. The call is worth $4.5 and the put is worth of $4. The simple risk-free interest rate is 4% per annum. What is the cost to construct a synthetic call position based on put-call parity?
- Suppose the price of a non-dividend paying stock is $50. There exist European call and put options on the stock with one year to maturity and the strike price $50. The call is worth $4.5 and the put is worth of $4. The simple risk-free interest rate is 4% per annum. Show the cash flow from an arbitrage between synthetic and actual call in the following table
Transaction | Current date | Expiration date T S(T) ≤ K | Expiration date T S(T) > K |
Net |
Related Book For
Auditing A Practical Approach
ISBN: 9780730382645
4th Edition
Authors: Robyn Moroney, Fiona Campbell, Jane Hamilton
Posted Date: