A European call option on an asset currently worth $100 in the spot market has a strike price of $110 and has five months left to expire. If the continuously compounded annual risk-free rate is 12% across all maturities and the call option is currently priced at $2.15 on the options market.

Required:

what should be the price of a European put option on the same asset and the same strike price? Expiration date?

Answer rating: 100% (QA)

To calculate the price of a European put option on the same asset and ... View the full answer