A stock is trading at 211.35 and will pay a dividend of 3.45 in two months. Two- and three- month zero-coupon bonds are trading at 0.9837 and 0.9753 per dollar of face, respectively. Three-month European puts struck on the stock at 216 are trading at 20.2. What's the price of a three-month ATM European call on the stock also struck at 216?

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
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A stock is trading at 211.35 and will pay a dividend of 3.45 in two months. Two- and three-
month zero-coupon bonds are trading at 0.9837 and 0.9753 per dollar of face, respectively.
Three-month European puts struck on the stock at 216 are trading at 20.2. What's the price of
a three-month ATM European call on the stock also struck at 216?
Transcribed Image Text:A stock is trading at 211.35 and will pay a dividend of 3.45 in two months. Two- and three- month zero-coupon bonds are trading at 0.9837 and 0.9753 per dollar of face, respectively. Three-month European puts struck on the stock at 216 are trading at 20.2. What's the price of a three-month ATM European call on the stock also struck at 216?
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