Marie Wants to Determine the Fair Value of a Put

question 17

Essay

Marie wants to determine the fair value of a put option with a strike price of $20 due to expire in 2 years.A call with the same strike price and expiration is worth $5.The risk-free rate is 4%.What would you tell Marie is the fair value of the put option? Assume: continuous compounding and value of the underlying asset is $22

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