Netflix is selling for $100 a share. A Netflix call option with one month until expiration and an exercise price of $105 sells for $2 while a put with the same strike and expiration sells for $6.94. What is the market price of a zero-coupon bond with face value $105 and 1-month maturity? What is the risk-free interest rate expressed as an effective annual yield?
Netflix is selling for $100 a share. A Netflix call option with one month until expiration and an exercise price of $105 sells for $2 while a put with the same strike and expiration sells for $6.94. What is the market price of a zero-coupon bond with face value $105 and 1-month maturity? What is the risk-free interest rate expressed as an effective annual yield?
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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Netflix is selling for $100 a share. A Netflix call option with one month until expiration and an exercise price of $105 sells for $2 while a put with the same strike and expiration sells for $6.94.
What is the market price of a zero-coupon bond with face value $105 and 1-month maturity?
What is the risk-free interest rate expressed as an effective annual yield?
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