Question: ( 5 points ) Consider the case of an exchange option in which the underlying stock is Eli Lilly and Company with a current price

( 5 points ) Consider the case of an exchange option
in which the underlying stock is Eli Lilly and Company with a

( 5 points ) Consider the case of an exchange option in which the underlying stock is Eli Lilly and Company with a current price of $56.10 per share The strike asset is Merck with a per share price of $52 00 . Interest rates are 5 / ( continuously compounded ) and the 3 month call option is trading for $7 00 What is the price of the put ? Assume that neither stock pays dividends

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