You have an option dealer who deals in non-publicly traded options. One of your clients wants to

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You have an option dealer who deals in non-publicly traded options. One of your clients wants to purchase a one year call option on a DBS share with a strike price of $40. Another dealer is willing to write a one year put option on a DBS share with a strike price of $40 and sell you the put option for a price of $16.

If DBS’s current share price is $30, and the risk-free rate is 3% per annum, what is the price you can charge for the call option?

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Financial Reporting And Analysis

ISBN: 9781260247848

8th Edition

Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer

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Posted Date: Sep 07, 2023 07:38 AM

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You have an option dealer who deals in non-publicly traded options. One of your clients wants to

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Financial Reporting And Analysis

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