A stock currently sells for $30. A 6-month call option with a strike of $32 has a

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A stock currently sells for $30. A 6-month call option with a strike of $32 has a premium of $6.2. An otherwise equivalent put premium is $8. Assuming a 4% continuous dividend yield. What is the implied continuous compounded risk-free rate?

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Posted Date: Jul 14, 2023 08:20 AM

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A stock currently sells for $30. A 6-month call option with a strike of $32 has a

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To determine the implied continuous compounded riskfree rate we can use the put... View the full answer

Derivatives Markets

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