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Alle Oberthemen / Finance & Investment / Derivatives / Derivatives
176
16.The price of a European call option on a stock with a strike price of $50 is $6. The stock price is $51, the continuously compounded risk-free rate (all maturities) is 6% and the time to maturity is one year. A dividend of $1 is expected in six months. What is the price of a one-year European put option on the stock with a strike price of $50? 
A.$8.97
B.$6.97
C.$3.06
D.$1.12
Answer: C

Put-call parity is c+Ke-rT=p+S0. In this case K=50, S0=51, r=0.06, T=1, and c=6. The present value of the dividend is 1×e−0.06×0.5 = 0.97.   It follows that
p=6+50e-0.06×1−(51-0.97) = 3.06
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Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015

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