An American-Style Call Option with Six Months to Maturity Has

question 35

Multiple Choice

An American-style call option with six months to maturity has a strike price of $35.The underlying stock now sells for $43.The call premium is $12.If the risk-free rate is 6%,what should be the value of a put option on the same stock with the same strike price and expiration date?

• A) $3.00
• B) $2.02
• C) $12.00
• D) $5.25
• E) $8.00

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