Hello, 

Could you help me to resolve this exercice please ? 

 

Thanks a lot 

 

a) Company A is expected to distribute a dividend of (3 per share in two months. Calculate the price of a six-month European call option on Company A's stock with a strike price of (20 when the current stock price is (20, the risk-free interest rate is flat (the same for all maturities) at 2% per annum, and the volatility is 40% per annum. b) Using the put-call parity, calculate the price of a six-month European put option on the same stock and with the same strike price.

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a) Company A is expected to distribute a dividend of 3 per share in two months. Calculate the price of a six-month European call option on Company A's stock with a strike price of 20 when the current stock price is 20, the risk-free interest rate is flat (the same for all maturities) at 2% per annum, and the volatility is 40% per annum. b) Using the put-call parity, calculate the price of a six-month European put option on the same stock and with the same strike price. a) Company A is expected to distribute a dividend of 3 per share in two months. Calculate the price of a six-month European call option on Company A's stock with a strike price of 20 when the current stock price is 20, the risk-free interest rate is flat (the same for all maturities) at 2% per annum, and the volatility is 40% per annum. b) Using the put-call parity, calculate the price of a six-month European put option on the same stock and with the same strike price.