# A stock index is currently 150. Its volatility is 30%. The risk free rate is 2%. Strike

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## Question:

A stock index is currently 150. Its volatility is 30%. The risk free rate is 2%. Strike price is 140. The dividend yield is 7 after 6 months. Lifetime of the contract is 9 months.

- what is the worth of the derivative if it´s a European call?
- what is the worth if it´s a European put?
- Does the Put Call Parity hold?

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## Personal Finance Turning Money into Wealth

ISBN: 978-0134730363

8th edition

Authors: Arthur J. Keown