Explanation:
Using the put-call parity relationship:
\Rightarrow p_0 = \`$8` + (\`$55`(1.043)^{-0.25}) - \`$60` = \`$2.42`41
Q.3570 A three-month call option with an exercise price of $55 is being sold for $8. A three-month Treasury bond is being sold in the marketplace with the same face value as the option's exercise price. The underlying is currently worth $60, and the risk-free rate is 4.30%. Assuming the put-call parity holds, a put option is being sold for:
A
$0.73
B
$2.42
C
$12.34
D
$8.48
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