What Is the Value of a 6-Month Put with a Strike

question 48

Multiple Choice

What is the value of a 6-month put with a strike price of $27.50 if the stock price is $22.60, the 6-month $27.50 call is priced at $1.46, and the risk-free rate is 3.5 percent, compounded continuously?

• A) $4.71
• B) $5.43
• C) $5.24
• D) $5.88
• E) $6.62

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