Option Question

Good Student
Posts: 21
Joined: Fri Aug 17, 2012 3:27 pm

Option Question

Postby d2syh » Thu Nov 08, 2012 1:34 pm

A 3-month American put option on a stock XYZ for strike price $40 is currently selling for $2.50. The stock itself is selling for $41. The risk free rate of interest is 7.5%. The 3-month American call option for strike price $41 will approximately sell for
Choose one answer.
a. $3.95
b. $4.75
c. $3.25
d. $4.5
The correct answer is $3.95.

I am not getting the answer here...
My ans: Using put call parity, C= 2.50+41-40*e^(-0.075*0.25)=4.24


Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: Option Question

Postby content.pristine » Mon Nov 12, 2012 5:54 pm

Your answer is absolutely correct.
4.24 is the correct answer.
There seems to be something wrong with the question.
What is its source?

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