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?

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter4: Bond Valuation

Section: Chapter Questions

Problem 8MC: Suppose a 10-year, 10% semiannual coupon bond with a par value of 1,000 is currently selling for...

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