A Call Option Has a Premium of $1

question 99

Multiple Choice

A call option has a premium of $1.95,a strike price of $45,and 3 months to expiration.The current stock price is $42.20.The stock will pay a $1.15 dividend in one month.The risk-free rate is 2.5 percent.What is the premium on a 3-month put with a strike price of $45? Assume the options are European style.

• A) $2.08
• B) $2.15
• C) $3.32
• D) $4.12
• E) $5.62

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