A put option that expires in six months with an exercise price of $30 sells for
ID: 2742289 • Letter: A
Question
A put option that expires in six months with an exercise price of $30 sells for $4.65. The stock is currently priced at $26, and the risk-free rate is 4.3 percent per year, compounded continuously.
What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your final answer to 2 decimal places (e.g., 32.16).)
A put option that expires in six months with an exercise price of $30 sells for $4.65. The stock is currently priced at $26, and the risk-free rate is 4.3 percent per year, compounded continuously.
Explanation / Answer
Call option price = $4.65 + $26 - $30 * e-4.3%*0.5
= $1.29