You are given that one-year 15-strike European call and put premiums on a share of Iowa Inc.

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You are given that one-year 15-strike European call and put premiums on a share of Iowa Inc. are 6.46 and 0.75, respectively.

The stock pays dividends continuously at a rate proportional to its price. The dividend yield is 2%. The effective annual interest rate is 5%.

Determine the strike price at which the call and put premiums on a share of Iowa Inc. will be equal.

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:11 AM

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You are given that one-year 15-strike European call and put premiums on a share of Iowa Inc.

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Derivative Pricing

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