Consider the call-put pair with strike price 407 and February maturity. Use the put-call parity formula to compute the price of a zero-coupon bond expiring in February. Use the data in Table 2. Please show your calculations. Discuss your result. You also observe the following market for European Call and Put options on the S&P 500 ETF: Today: 10th January 2023 Spot index level: 407
Consider the call-put pair with strike price 407 and February maturity. Use the put-call parity formula to compute the price of a zero-coupon bond expiring in February. Use the data in Table 2. Please show your calculations. Discuss your result. You also observe the following market for European Call and Put options on the S&P 500 ETF: Today: 10th January 2023 Spot index level: 407
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
Problem 1PS
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Consider the call-put pair with strike price 407 and February maturity. Use the put-call parity formula to compute the price of a zero-coupon bond expiring in February. Use the data in Table 2.
Please show your calculations. Discuss your result.
You also observe the following market for European Call and Put options on the S&P 500 ETF:
Today: 10th January 2023
Spot index level: 407
see image attached
Transcribed Image Text:Maturity: 17th February 2023
Calls
7.06
5.92
4.79
3.66
2.57
2.57
2.63
2.73
2.85
Strike
403
404
405
406
407
408
409
410
411
Maturity: 17th March 2023
Calls
8.69
7.40
6.12
4.85
3.58
3.73
3.93
4.16
4.42
Strike
403
404
405
406
407
408
409
410
411
Table 2
Puts
2.21
2.07
1.93
1.81
1.71
2.71
3.77
4.87
5.99
Puts
3.21
2.93
2.64
2.36
2.09
3.23
4.43
5.66
6.92
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