You have the following information on six-month European options based on a common underlying stock: Call options: $95.00 strike options trade at $23.49. • $97.50 strike options trade at $21.46. $100.00 strike options trade at $19.46. Put options: • $100.00 strike options trade at $10.60. $102.50 strike options trade at $12.36. • $105.00 strike options trade at $14.35. If the continuously compounded risk free rate is 4.60%, what does put call parity suggest is the current stock price?
You have the following information on six-month European options based on a common underlying stock: Call options: $95.00 strike options trade at $23.49. • $97.50 strike options trade at $21.46. $100.00 strike options trade at $19.46. Put options: • $100.00 strike options trade at $10.60. $102.50 strike options trade at $12.36. • $105.00 strike options trade at $14.35. If the continuously compounded risk free rate is 4.60%, what does put call parity suggest is the current stock price?
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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Give typing answer with explanation and conclusion
![You have the following information on six-month European options based on a common underlying stock:
Call options:
$95.00 strike options trade at $23.49.
• $97.50 strike options trade at $21.46.
• $100.00 strike options trade at $19.46.
Put options:
$100.00 strike options trade at $10.60.
• $102.50 strike options trade at $12.36.
$105.00 strike options trade at $14.35.
If the continuously compounded risk free rate is 4.60%, what does put call parity suggest is the current
stock price?
Report your answer without a dollar sign to four decimal places.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F4e9cb8a8-b491-4a1c-819d-3f417e3c0e98%2F15ed4422-03eb-462c-9d1c-8f5e8c88a66f%2F3lch2w_processed.png&w=3840&q=75)
Transcribed Image Text:You have the following information on six-month European options based on a common underlying stock:
Call options:
$95.00 strike options trade at $23.49.
• $97.50 strike options trade at $21.46.
• $100.00 strike options trade at $19.46.
Put options:
$100.00 strike options trade at $10.60.
• $102.50 strike options trade at $12.36.
$105.00 strike options trade at $14.35.
If the continuously compounded risk free rate is 4.60%, what does put call parity suggest is the current
stock price?
Report your answer without a dollar sign to four decimal places.
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