The Price of a European Call Option on a Non-Dividend-Paying

question 6

Short Answer

The price of a European call option on a non-dividend-paying stock with a strike price of $50 is $6. The stock price is $51, the continuously compounded risk-free rate all maturities) is 6% per annum, and the time to maturity is one year. What to the nearest cent) is the price of a one-year European put option on the stock with a strike price of $50? _ _ _ _ _ _

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Definitions:

Distribution

In statistics, distribution refers to the way values of a variable are spread or dispersed across a range.

Standard Deviation

A measure of the amount of variation or dispersion of a set of values, indicating how spread out the data points are from the mean.

Variation

The occurrence of differences or discrepancies in characteristics, outcomes, or processes within or among entities or populations.

Degree

An academic rank conferred by universities or colleges upon completion of a course of study or the level of angle measured in degrees.