Question: A call and a put options written on the same stock have the same strike price and time to maturity. At 10:30am on a certain
A call and a put options written on the same stock have the same strike price and time to maturity. At 10:30am on a certain day, the price of the call is $2.9 and the price of the put is $3.2. At 10:31am new information reaches the market that has no effect on the stock price or interest rates, but increases volatilities. As a result the price of the call option changes to $4.35. What would you expect the price of the put option to change to?
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