One-Year European Call and Put Options on an Asset Are

question 6

Multiple Choice

One-year European call and put options on an asset are worth $3 and $4 respectively when the strike price is $20 and the one-year risk-free rate is 5%.What is the one-year futures price of the asset if there are no arbitrage opportunities? (Use put-call parity.)

• A) $19.55
• B) $18.95
• C) $20.95
• D) $20.45

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