Shares of ABC will sell for either $180 or $120 in three months, with probabilities 0.75 and

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Shares of ABC will sell for either $180 or $120 in three months, with probabilities 0.75 and 0.25 respectively. A European call on ABC with an exercise price of $150 sells for $20 today, and an identical put sells for $4. Both options mature in three months. What is the price of a three-month zero-coupon bond with a face value of $100?

Posted Date: May 19, 2024 12:17 PM

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Shares of ABC will sell for either $180 or $120 in three months, with probabilities 0.75 and

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