Use the Information Below to Answer the Following Question

question 21

Multiple Choice

Use the information below to answer the following question.
Assume a stock price of $42; a risk-free rate of 3.5 percent per year, compounded continuously; a six-month maturity; and a standard deviation of 64 percent per year. If a six-month call with an exercise price of $45 is priced at $6.66, what is the price of the six-month $45 put?

• A) $8.57
• B) $7.93
• C) $8.88
• D) $9.07
• E) $8.74

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Definitions:

Mean

A statistical measure defined as the sum of all values in a data set divided by the number of values, representing the average.

Median

The middle value in a sorted list of numbers, effectively dividing the dataset into two equal halves.

IQR

Stands for Interquartile Range, a measure of variability in statistics that describes the middle 50% of values when ordered from least to greatest.

Range

Range is a measure of the spread or dispersion within a data set, calculated as the difference between the highest and lowest values in the set.