The stock price 6 months from the expiration of an option is $42, the exercise price of the option is $40, the risk-free rate is 10% per annum, and the volatility is 20% per annum. a) What is the price on a European call? b) What is the price of a European put? c) Check the put-call parity is satisfied.

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.