A Call Option Has a Premium of $2

question 15

Multiple Choice

A call option has a premium of $2.80,a strike price of $55,and 3 months to expiration.The current stock price is $52.20.The stock will pay a $1.25 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 $55? Assume the options are European style.

• A)$2.08
• B)$2.15
• C)$3.32
• D)$4.12
• E)$6.51

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