2. Kenny Silver, CFA, is estimating the price of a call option. The call has an exercise price of $100 and a remaining time to expiration of 273 days. The spot price of the underlying stock is $93.25 and a put of the same underlying stock, exercise price and remaining time to expiration is currently priced at $6.50. Assuming a risk-free rate of 8% and a 365-day period, the call option’s arbitrage-free price is

	a.	$5.34
	b.	$7.66
	c.	$0 because the exercise price is greater than the spot price of the underlying stock.

Answer rating: 100% (QA)

To estimate the price of the call option using putcall parity we can use th... View the full answer