Revision as of 18:13, 14 May 2023 by Admin (Created page with "'''Key: B''' Using put-call parity and the 550-strike options, we have: <math display = "block"> 45.46 − 64.57 = S_0 − 550e^{−0.0325*0.5} \Rightarrow S_0 = 522.0247 <...")
Exercise
ABy Admin
May 14'23
Answer
Key: B
Using put-call parity and the 550-strike options, we have:
[[math]]
45.46 − 64.57 = S_0 − 550e^{−0.0325*0.5} \Rightarrow S_0 = 522.0247
[[/math]]
Using the current stock price and put-call parity with the 525-strike options:
[[math]]
55.92 − x = 522.0247 − 525e^{−0.0325*0.5} \Rightarrow x = 50.43
[[/math]]
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