4) The premium of a call option with a strike price of $45 is equal to $4.5 and the premium of a call option with a strike price of $55 is equal to $2. The premium of a put option with a strike price of $45 is equal to $2.5. The risk-free rate of interest is 6%. In the absence of arbitrage opportunities, what should be the premium of a put option with a strike price of $55? All these options have a time to maturity of 3 months. (You are not allowed to use the put-call parity to solve this problem)
4) The premium of a call option with a strike price of $45 is equal to $4.5 and the premium of a call option with a strike price of $55 is equal to $2. The premium of a put option with a strike price of $45 is equal to $2.5. The risk-free rate of interest is 6%. In the absence of arbitrage opportunities, what should be the premium of a put option with a strike price of $55? All these options have a time to maturity of 3 months. (You are not allowed to use the put-call parity to solve this problem)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:4) The premium of a call option with a strike price of $45 is equal to $4.5 and the premium of a
call option with a strike price of $55 is equal to $2. The premium of a put option with a strike price
of $45 is equal to $2.5. The risk-free rate of interest is 6%. In the absence of arbitrage opportunities,
what should be the premium of a put option with a strike price of $55? All these options have a
time to maturity of 3 months. (You are not allowed to use the put-call parity to solve this problem)
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